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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Ruf, J.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
-
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
Journal title:
Journal of Computational Finance
Year:
2011
Journal volume:
14
Journal issue:
3
Pages contribution:
127-145
Reviewed:
ja
Language:
en
Status:
Erstveröffentlichung
Semester:
SS 02
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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