Anzeige
Erschienen in:
2006 | OriginalPaper | Buchkapitel
On Monte Carlo Simulation for the HJM Model Based on Jump
verfasst von : Kisoeb Park, Moonseong Kim, Seki Kim
Erschienen in: Computational Science – ICCS 2006
Verlag: Springer Berlin Heidelberg
Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.
Wählen Sie Textabschnitte aus um mit Künstlicher Intelligenz passenden Patente zu finden. powered by
Markieren Sie Textabschnitte, um KI-gestützt weitere passende Inhalte zu finden. powered by
We derive a form of the HJM model based on jump. Heath, Jarrow, and Morton(HJM) model is widely accepted as the most general methodology for term structure of interest rate models. We represent the HJM model with jump and give the analytic proof for the HJM model with jump. We perform the Monte Carlo simulation with several scenarios to achieve highly precise estimates with the brute force method in terms of mean standard error which is one measure of the sharpness of the point estimates. We have shown that bond prices in HJM jump-diffusion version models of the extended Vasicek and CIR models obtained by Monte Carlo simulation correspond with the closed form values.