Sun, Xichao; Yan, Litan - In: Journal of statistical and econometric methods 1 (2012) 3, pp. 79-96
This paper proposes a mixed fractional Brownian motion version of a well-known credit risk pricing structural model: the Merton model. Assume that the value of the firm obeys to a geometric mixed fractional Brownian motion, default probability, pricing of bonds, values of stocks and credit...