He, Xinjiang; Chen, Wenting - In: Physica A: Statistical Mechanics and its Applications 404 (2014) C, pp. 26-33
In this paper, we consider the pricing of the CDS (credit default swap) under a GMFBM (generalized mixed fractional Brownian motion) model. As the name suggests, the GMFBM model is indeed a generalization of all the FBM (fractional Brownian motion) models used in the literature, and is proved to...
