The study of utility valuation of single-name credit derivatives with the fast-scale stochastic volatility correction
© 2018 by the authors. In this paper, we study the risk aversion on valuing the single-name credit derivatives with the fast-scale stochastic volatility correction. Two specific utility forms, including the exponential utility and the power utility, are tested as examples in our work. We apply the a...
| Main Authors: | , , , , |
|---|---|
| Format: | Journal Article |
| Published: |
M D P I AG
2018
|
| Online Access: | http://hdl.handle.net/20.500.11937/67930 |