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Estimation for the Time-t Discounted Price of Multiple Defaultable Zero Coupon Bond
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 Title & Authors
Estimation for the Time-t Discounted Price of Multiple Defaultable Zero Coupon Bond
Park, Heung-Sik;
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 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
 Cited by
 References
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