Timeline for Calibration Merton Jump-Diffusion
Current License: CC BY-SA 3.0
22 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Dec 23, 2016 at 0:11 | vote | accept | Vittorio Apicella | ||
| Nov 22, 2016 at 22:59 | answer | added | Mehness | timeline score: 3 | |
| Nov 22, 2016 at 21:33 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Oct 23, 2016 at 21:17 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Sep 23, 2016 at 20:34 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Aug 24, 2016 at 20:02 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jul 25, 2016 at 19:10 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jun 25, 2016 at 18:32 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| May 26, 2016 at 17:54 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jul 3, 2015 at 22:07 | history | tweeted | twitter.com/#!/StackQuant/status/617092430295400448 | ||
| Jun 3, 2015 at 3:23 | comment | added | Mark Joshi | there are formulas for barrier option prices when the jump takes a specific form. These may help. There is some work by Kou. | |
| Jun 1, 2015 at 13:46 | answer | added | q.t.f. | timeline score: 2 | |
| May 31, 2015 at 17:54 | comment | added | lehalle | Generically, you can fit any model numerically. No need a closed form. Usually when a model is widely used, there are known good practices. And in this case I do not know them. In your case (in dimension one), it seems tractable numerically. | |
| May 31, 2015 at 15:29 | comment | added | Vittorio Apicella | the problem is that I don't know how to calibrate without a closed form survival probability function...as far as I know, in order to calibrate a credit model I am supposed to extract default probabilities implied in CDS spreads and then finding the parameter values which make the squared difference between default probabilities generated by the model (given the set of parameters) and the market the lowest possible...but what if I don't know the survival function? | |
| May 31, 2015 at 15:18 | comment | added | lehalle | Ok, it means you try to fit a Leland-like model, adding a jump component. And the jump part prevent you from having closed form results. Why not considering numerical solutions? | |
| May 31, 2015 at 14:57 | comment | added | Vittorio Apicella | $V_t$ is the asset dynamics process, $x$ is a debt barrier. The whole model follows the structural "philosophy" (model assets' dynamics, computing the probability the value of the assets touch or go below the debt barrier) | |
| May 31, 2015 at 14:55 | comment | added | lehalle | Just to be sure I understand your question: what is V? | |
| May 31, 2015 at 14:41 | comment | added | Vittorio Apicella | sure...actually my problem is I don't know how to compute the probability in the EDIT | |
| May 31, 2015 at 14:39 | history | edited | Vittorio Apicella | CC BY-SA 3.0 |
adding computations
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| May 31, 2015 at 14:24 | comment | added | lehalle | Could you please develop the last part of your question: "The problem of course is there doesn't exist an analytical formula for the survival probability function". It will help people to answer, and may be yourself to better understand your problem. | |
| May 31, 2015 at 14:15 | review | First posts | |||
| May 31, 2015 at 14:19 | |||||
| May 31, 2015 at 14:09 | history | asked | Vittorio Apicella | CC BY-SA 3.0 |