CDS pricing with long memory via fractional Lévy processes

CDS pricing with long memory via fractional Lévy processes

Fink, Holger, Scherr, Christian
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Volume:
1
Language:
english
Journal:
Journal of Financial Engineering
DOI:
10.1142/s2345768614500305
Date:
December, 2014
File:
PDF, 1.58 MB
english, 2014
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