Modeling credit risk with mixed fractional Brownian motion: An application to barrier options
Abstract: This article aims to examine the pricing of debt and equity in the context of credit risk structural models, where the value of a company’s assets is influenced by mixed fractional Brownian motion. Three distinct scenarios are analyzed, including when the assets are trade-able, fixed, and subject to partial recovery of debt. The study culminates with the evaluation of debt pricing under the barrier model, where a bankruptcy threshold is established for the company’s asset value.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Bibliographic citation
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Modeling credit risk with mixed fractional Brownian motion: An application to barrier options ; volume:13 ; number:1 ; year:2024 ; extent:13
Nonlinear engineering ; 13, Heft 1 (2024) (gesamt 13)
- Creator
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Hussain, Javed
Ali, Munawar
- DOI
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10.1515/nleng-2024-0003
- URN
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urn:nbn:de:101:1-2404191536286.671285108778
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
- 14.08.2025, 10:56 AM CEST
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Associated
- Hussain, Javed
- Ali, Munawar
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