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.

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.
Agliardi E.; Agliardi R.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11585/92128
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