Semi-Markov regime switching interest rate models under minimal entropy martingale measure (Q2824326)
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scientific article; zbMATH DE number 6634932
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Semi-Markov regime switching interest rate models under minimal entropy martingale measure |
scientific article; zbMATH DE number 6634932 |
Statements
Semi-Markov regime switching interest rate models under minimal entropy martingale measure (English)
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6 October 2016
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arbitrage free method
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binary tree model
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term structure of interest rate
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minimal entropy martingale measure
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bond option pricing
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0.96853775
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0.89092135
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0.8734206
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0.86963624
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0.86470747
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