基于改进布朗桥算法的任意跳跃-扩散模型公司债券定价

IF 0.8 4区 经济学 Q4 BUSINESS, FINANCE
J. Ruf, M. Scherer
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引用次数: 17

摘要

我们提供了一个有效和无偏的蒙特卡罗模拟计算债券价格的结构性违约模型与跳跃。该算法要求以布朗桥首次通过时间的密度作为被积量来求积分。Metwally和Atiya(2002)提出了这些积分的近似。我们在精度方面改进了这个近似。从建模者的角度来看,我们证明了具有跳跃的结构模型能够内生地产生随机恢复速率。众所周知,允许跳跃式突然违约会导致期限结构短期端的信贷息差上限为正。我们为这个极限提供了一个明确的公式,仅依赖于公司价值过程、回收率和违约距离的对数的Levy度量。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm
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 stochastic recovery rates. It is well known that allowing a sudden default by a jump results in a positive limit of credit spreads at the short end of the term structure. We provide an explicit formula for this limit, depending only on the Levy measure of the logarithm of the firm-value process, the recovery rate, and the distance to default.
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来源期刊
CiteScore
0.90
自引率
0.00%
发文量
8
期刊介绍: The Journal of Computational Finance is an international peer-reviewed journal dedicated to advancing knowledge in the area of financial mathematics. The journal is focused on the measurement, management and analysis of financial risk, and provides detailed insight into numerical and computational techniques in the pricing, hedging and risk management of financial instruments. The journal welcomes papers dealing with innovative computational techniques in the following areas: Numerical solutions of pricing equations: finite differences, finite elements, and spectral techniques in one and multiple dimensions. Simulation approaches in pricing and risk management: advances in Monte Carlo and quasi-Monte Carlo methodologies; new strategies for market factors simulation. Optimization techniques in hedging and risk management. Fundamental numerical analysis relevant to finance: effect of boundary treatments on accuracy; new discretization of time-series analysis. Developments in free-boundary problems in finance: alternative ways and numerical implications in American option pricing.
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