Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2008
subfiltration structure. The Euler-Maruyama stochastic integral
approximation and the Monte Carlo method are applied to develop a … estimations.
Keywords: HJM model, Cox process, Monte Carlo method, bond price, CDS option
JEL Classification: C63, G13, G33 …’s
standarderroralwaysturnsouttobeonequarterofthatwithrespecttothevaluesobtained
by the standard Monte Carlo method. The accuracy of the prices increases by one decimal
place with the application of …