混合分数布朗运动环境下随机公司负债易损期权的估值

IF 0.9 3区 经济学 Q3 BUSINESS, FINANCE
Panhong Cheng, Zhihong Xu, Zexing Dai
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引用次数: 1

摘要

本文章由计算机程序翻译,如有差异,请以英文原文为准。

Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment

Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
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来源期刊
Mathematics and Financial Economics
Mathematics and Financial Economics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS -
CiteScore
2.80
自引率
6.20%
发文量
17
期刊介绍: The primary objective of the journal is to provide a forum for work in finance which expresses economic ideas using formal mathematical reasoning. The work should have real economic content and the mathematical reasoning should be new and correct.
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