A reduced-form intensity-based model under fuzzy environments

DOI10.1016/j.cnsns.2014.07.021zbMath1329.91135OpenAlexW2005730882MaRDI QIDQ907676

Liang Wu, Ya-Ming Zhuang

Publication date: 26 January 2016

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2014.07.021

zbMATH Keywords

derivative pricingintensity-based modelfuzzy environments

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (4)

The total return swap pricing model under fuzzy random environments ⋮ Credit derivatives pricing model for fuzzy financial market ⋮ Introducing fuzziness in CDS pricing under a structural model ⋮ A new default probability calculation formula and its application under uncertain environments

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