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Bond pricing formulas for Markov-modulated affine term structure models - MaRDI portal

Bond pricing formulas for Markov-modulated affine term structure models (Q2666684)

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Bond pricing formulas for Markov-modulated affine term structure models
scientific article

    Statements

    title
    Bond pricing formulas for Markov-modulated affine term structure models (English)
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    author
    Marianito R. Rodrigo
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    Rogemar S. Mamon
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    publication date
    23 November 2021
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    zbMATH Keywords
    term structure modeling
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    affine processes
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    Markov chain
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    regime-switching approach
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    bond valuation
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    cites work
    Q2737019
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    Q3969647
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    Q4323296
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    Q2713012
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    Q4850018
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    Q4925758
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    91G20
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    35A22
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    35K05
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    60H30
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    zbMATH DE Number
    7431938
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    OpenAlex ID
    W3023214860
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    DOI
    10.3934/JIMO.2020089
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