Pricing CDS under Fractional Vasicek Interest Rate Model

Pricing CDS under Fractional Vasicek Interest Rate Model

Liu Yonghui, Hao Ruili, Wang Shoubai

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PDF(491 KB)

CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS ›› 2014, Vol. 30 ›› Issue (3) : 257-266.

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Pricing CDS under Fractional Vasicek Interest Rate Model

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