The pricing of credit default swaps under a generalized mixed fractional Brownian motion
type: Item
instance of: scholarly article
title: The pricing of credit default swaps under a generalized mixed fractional Brownian motion
zbMATH Open document ID: 1402.91847
published in: Physica A
publication date: 2018-09-20T00:00:00Z
full work available at URL: https://ro.uow.edu.au/eispapers/3453
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6939899
zbMATH Keywords: generalized mixed fractional Brownian motion
zbMATH Keywords: credit default swaps
zbMATH Keywords: pricing swaps
author: Xin-Jiang He
author: Wen-Ting Chen
MaRDI profile type: Publication
OpenAlex ID: W2048869686
cites work: COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
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cites work: Mixed fractional Brownian motion
cites work: When is a linear combination of independent fBm's equivalent to a single fBm?
cites work: Stochastic Calculus for Fractional Brownian Motion and Applications
DOI: 10.1016/J.PHYSA.2014.02.046
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description: scientific article; zbMATH DE number 6939899