Fuzzy defaultable bonds

Authors:
Elettra Agliardi;Rossella Agliardi
Affiliations:
Department of Economics, University of Bologna, Piazza Scaravilli 2, 40126 Bologna, Italy and Department Matemates, University of Bologna, Viale Filopanti 5, 40126 Bologna, Italy;Department of Economics, University of Bologna, Piazza Scaravilli 2, 40126 Bologna, Italy and Department Matemates, University of Bologna, Viale Filopanti 5, 40126 Bologna, Italy
Venue:
Fuzzy Sets and Systems
Year:
2009

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Abstract

This paper develops a structural model for defaultable bonds in a fuzzy environment. The numerical results calculated from the closed-form solution show that the fuzziness of the stochastic underlying asset and of bankruptcy costs have material impact on the term structure of credit spreads and the duration of defaultable bonds.