Abstract
A two-factor model for the valuation of default risk implicit in US corporate bonds is developed and implemented on a parallel computer. The model is discretized and implemented as a trinomial lattice. The model is used for the least-squares estimation of implicit parameters of volatility and correlation, consistent with the observable term structures of several corporate bond categories, across several trading days.
Although the non-linear optimization is compute-intensive, the pricing step is easily parallelizable on a shared-memory, symmetric multiprocessor system. It is here implemented on the Convex Exemplar SPP-1200 parallel computer, and numerical results are presented.
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© 1997 Springer Science+Business Media Dordrecht
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Nielsen, S.S. (1997). An Efficient Parallel Implementation of a Lattice Pricing Model. In: Amman, H., Rustem, B., Whinston, A. (eds) Computational Approaches to Economic Problems. Advances in Computational Economics, vol 6. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-2644-2_11
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DOI: https://doi.org/10.1007/978-1-4757-2644-2_11
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4419-4770-3
Online ISBN: 978-1-4757-2644-2
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