• DocumentCode
    2546006
  • 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
  • fYear
    2010
  • fDate
    16-18 April 2010
  • Firstpage
    426
  • Lastpage
    429
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • DOI
    10.1109/ICIME.2010.5477718
  • Filename
    5477718
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2546006