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Titel:

Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Ruf, J.; Scherer, M.
Nicht-TUM Koautoren:
ja
Kooperation:
national
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
Seitenangaben Beitrag:
-
Reviewed:
ja
Sprache:
en
Semester:
SS 02
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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