Bond pricing under imprecise information

Bond pricing under imprecise information

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 materi...

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Veröffentlicht in:Operational research 2011-11, Vol.11 (3), p.299-309
Hauptverfasser: Agliardi, Elettra, Agliardi, Rossella
Format: Artikel
Sprache:eng
Schlagworte:
Bonds
Business and Management
Computational Intelligence
Credit risk
Default
Fuzzy sets
Management Science
Operations Research
Operations Research/Decision Theory
Original Paper
Prices
Studies
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Beschreibung
Zusammenfassung: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.
ISSN:1109-2858
1866-1505
DOI:10.1007/s12351-010-0087-x