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- W2369301760 abstract "Assume that the value of the firm′s assets satisfies the stochastic differential equation driven by the fractional Brownian motion,the credit risk model is established for the valuation of derivatives with counterparty default risk in fractional Brownian motion environment.Using the stochastic analysis theory of the fractional Brownian motion and the method of actuarial mathematics,the credit risk model is discussed with the stochastic recovery rate,the explicit pricing formulae for vulnerable call and put options are derived under deterministic interest rate and deterministic firm′s liability.In addition,the case of the fixed recovery rate is presented,when the fixed recovery rate equals 1,the formula is obtained for standard call and put option in fractional Brownian motion environment.It generalizes the Black-Scholes model in fractional Brownian motion environment." @default.
- W2369301760 created "2016-06-24" @default.
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- W2369301760 date "2012-01-01" @default.
- W2369301760 modified "2023-09-26" @default.
- W2369301760 title "Credit-risky claims pricing in fractional Brownian motion environment" @default.
- W2369301760 hasPublicationYear "2012" @default.
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