This article develops a computational method to implement the effect of imperfect information on the value of defaultable bonds. A fuzzy modeling is adopted and the numerical experiments show that an imprecise value of the stochastic underlying asset and/or the barrier triggering default have material impact on the qualitative shape of the term structures of credit spreads.
Agliardi E., Agliardi R. (2011). Bond pricing under imprecise information. OPERATIONAL RESEARCH, 11, 299-309 [10.1007/S12351-010-0087-x].
Bond pricing under imprecise information
AGLIARDI, ELETTRA;AGLIARDI, ROSSELLA
2011
Abstract
This article develops a computational method to implement the effect of imperfect information on the value of defaultable bonds. A fuzzy modeling is adopted and the numerical experiments show that an imprecise value of the stochastic underlying asset and/or the barrier triggering default have material impact on the qualitative shape of the term structures of credit spreads.File in questo prodotto:
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