A fractional credit model with long range dependent default rate
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DOI: 10.1016/j.spa.2012.12.006
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- Wang, XiaoTian & Yang, ZiJian & Cao, PiYao & Wang, ShiLin, 2021. "The closed-form option pricing formulas under the sub-fractional Poisson volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
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Keywords
Credit risk; Defaultable bond; Default rate; Derivatives pricing; Fractional Brownian motion; Fractional Vasicek model; Hazard rate; Interest rate; Long range dependence; Macroeconomic variables process; Option pricing; Prediction; Short rate; Wick product;All these keywords.
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