CDS pricing with long memory via fractional Lévy processes
Holger Fink and Christian Scherr
| Year of publication: |
2014
|
|---|---|
| Authors: | Fink, Holger Maria ; Scherr, Christian |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 4, p. 1-35
|
| Subject: | Long memory | credit default swap | fractional Lévy process | long range dependence | fractional Brownian motion | CDS pricing | Kreditderivat | Credit derivative | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010507970