Semi-Markov regime switching interest rate models under minimal entropy martingale measure

DOI10.3724/SP.J.1249.2016.02154zbMath1363.91123OpenAlexW2343359214MaRDI QIDQ2824326

Xingrui Wang, Xiang Dong Liu

Publication date: 6 October 2016

Published in: Journal of Shenzhen University Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3724/sp.j.1249.2016.02154

zbMATH Keywords

minimal entropy martingale measurebond option pricingterm structure of interest ratebinary tree modelarbitrage free method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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