Pricing of Defaultable Securities Associated with Recovery Rate Under the Stochastic Interest Rate Driven by Fractional Brownian Motion

ZHOU Qing,WANG Qian,WU Weixing

系统科学与复杂性(英文) ›› 2019, Vol. 32 ›› Issue (2) : 657-680.

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系统科学与复杂性(英文) ›› 2019, Vol. 32 ›› Issue (2) : 657-680. DOI: 10.1007/s11424-018-7119-7

Pricing of Defaultable Securities Associated with Recovery Rate Under the Stochastic Interest Rate Driven by Fractional Brownian Motion

    ZHOU Qing1 , WANG Qian1 , WU Weixing2
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Pricing of Defaultable Securities Associated with Recovery Rate Under the Stochastic Interest Rate Driven by Fractional Brownian Motion

    ZHOU Qing1 , WANG Qian1 , WU Weixing2
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{{article.zuoZheCn_L}}. {{article.title_cn}}. {{journal.qiKanMingCheng_CN}}, 2019, 32(2): 657-680 https://doi.org/10.1007/s11424-018-7119-7
{{article.zuoZheEn_L}}. {{article.title_en}}. {{journal.qiKanMingCheng_EN}}, 2019, 32(2): 657-680 https://doi.org/10.1007/s11424-018-7119-7
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