Benutzer: Gast  Login
Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Ruf, J.; Scherer, M. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm 
Abstract:
We provide an efficient and unbiased Monte-Carlo simulation for the computation of bond prices in a structural default model with jumps. The algorithm requires the evaluation of integrals with the density of the firstpassage time of a Brownian bridge as the integrand. Metwally and Atiya (2002) suggest an approximation of these integrals. We improve this approximation in terms of precision. From a modeler's point of view, we show that a structural model with jumps is able to endogenously generate...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Journal of Computational Finance 
Jahr:
2011 
Band / Volume:
14 
Heft / Issue:
Seitenangaben Beitrag:
127-145 
Reviewed:
ja 
Sprache:
en 
Status:
Erstveröffentlichung 
Semester:
SS 02 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein