The study of utility valuation of single-name credit derivatives with the fast-scale stochastic volatility correction

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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...

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Bibliographic Details
Main Authors:	Liu, S., Zhou, Y., Wiwatanapataphee, Benchawan, Wu, Yong Hong, Ge, X.
Format:	Journal Article
Published:	M D P I AG 2018
Online Access:	http://hdl.handle.net/20.500.11937/67930

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