ACADSTAFF UGM
| Title | : | Comparing Merton model and Gram-Charlier model to capture skewness and kurtosis on bond performance |
| Author | : |
Dr. Abdurakhman (1) DI ASIH I MARUDDANI (2) |
| Date | : | 1 2019 |
| Keyword | : | Bond valuation,Merton,Jump diffution,Gram Charlier Bond valuation,Merton,Jump diffution,Gram Charlier |
| Abstract | : | The existence of skewness and kurtosis in finance data distribution is as a generalization of the normal density. Non-normal skewness and kurtosis of underlying asset of bond issuer significantly contribute to the phenomenon of volatility smile. Merton jump diffusion model is one of the first beyond Black-Scholes model in the sense that it tries to capture the effect of skewness and kurtosis of the asset prices density by a simple addition of a compound Poisson jump process. Another approach to consider the effect of skewness and kurtosis in asset prices for bond valuation is the Gram-Charlier (G-C) expansion. Hermite polynomial is used to get an expansion of the probability distribution in G-C method. In this paper we compare Merton Jump Diffusion (MJD) Model and G-C model in the term of equity and default probability. The result showed that G-C model is more consistent than MJD model when the skewness and kurtosis are taken into account. |
| Group of Knowledge | : | |
| Level | : | Nasional |
| Status | : |
Published
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| No | Title | Action |
|---|---|---|
| 1 |
9_ Sertifikat.pdf
Document Type : Dokumen Pendukung Karya Ilmiah (Hibah, Publikasi, Penelitian, Pengabdian)
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| 2 |
3_ 2019_J__Phys___Conf__Ser__1217_011001 Cover + Editor dan Dokumentasi.pdf
Document Type : Seminar Sampul Prosiding
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| 3 |
4_ Journal of Physics_ Conference Series, Volume 1217, 2019 - IOPscience Table of Content.pdf
Document Type : Daftar Isi
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| 4 |
Full Comparing.pdf
Document Type : [PAK] Full Dokumen
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