Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows (Q984362)
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scientific article; zbMATH DE number 5757583
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows |
scientific article; zbMATH DE number 5757583 |
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Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows (English)
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19 July 2010
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exponential affine form
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regime-switching jump-augmented Vasicek model
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bond valuation
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stochastic flows
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fundamental matrix solutions
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