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

ZHOU Qing,WANG Qian,WU Weixing

Journal of Systems Science & Complexity ›› 2019, Vol. 32 ›› Issue (2) : 657-680.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science & Complexity ›› 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

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Complexity, 2019, 32(2): 657-680 https://doi.org/10.1007/s11424-018-7119-7

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