Title :
Default possibility with parasian options feature
Author :
Yi, Fu ; Jizhou, Zhang ; Yang, Wang
Author_Institution :
Coll. of Math. & Sci., Shanghai Normal Univ., Shanghai, China
Abstract :
In this paper, the model of firm´s default possibility with parasian options feature is established by means of PDE method. Because the explicit solution can´t be obtained, we calculate it by the method of Quasi-Monte Carlo, and the practice example of the numerical value analysis is given.
Keywords :
Monte Carlo methods; financial management; partial differential equations; risk management; PDE method; Quasi-Monte Carlo method; credit risk; default possibility; financial derivative; firm; numerical value analysis; parasian options feature; Contracts; Economic indicators; Educational institutions; Mathematical model; Mathematics; Pricing; Stochastic processes;
Conference_Titel :
Information Management and Engineering (ICIME), 2010 The 2nd IEEE International Conference on
Conference_Location :
Chengdu
Print_ISBN :
978-1-4244-5263-7
Electronic_ISBN :
978-1-4244-5265-1
DOI :
10.1109/ICIME.2010.5477718
