Pricing credit default swap under fractional Vasicek interest rate model
Ruili Hao, Yonghui Liu, Shoubai Wang
| Year of publication: |
2014
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|---|---|
| Authors: | Hao, Ruili ; Liu, Yonghui ; Wang, Shoubai |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 4.2014, 1, p. 10-20
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| Subject: | Credit Default Swap | Bond | Contagious Risk | Fractional Vasicek Interest Rate Model | Looping Default | Kreditderivat | Credit derivative | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Anleihe | Swap | Zinsderivat | Interest rate derivative | Zins | Interest rate | Schätzung | Estimation |
| 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/10010422093