Estimation for the Time-t Discounted Price of Multiple Defaultable Zero Coupon Bond

- Journal title : Communications for Statistical Applications and Methods
- Volume 16, Issue 3, 2009, pp.487-493
- Publisher : The Korean Statistical Society
- DOI : 10.5351/CKSS.2009.16.3.487

Title & Authors

Estimation for the Time-t Discounted Price of Multiple Defaultable Zero Coupon Bond

Park, Heung-Sik;

Park, Heung-Sik;

Abstract

We consider a multiple defaultable zero coupon bond. Assuming defaults occur according to a marked point process, we explain how to estimate the time-t discounted price of zero coupon bond by simulation. For the special case of a given specific random face value, we show that the real probability measure is the risk neutral probability measure. In this case the time-t discounted conditional price can be obtained by observing a single sample path upto the time t in the real world. Furthermore the time-t discounted price can be estimated by observing real situations or by simulation under the real probability measure.

Keywords

Multiple defaults;zero coupon bond;simulation;marked point process;

Language

English

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