A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy

DOI10.1007/s11009-010-9190-yzbMath1241.91112OpenAlexW2148867757WikidataQ57434314 ScholiaQ57434314MaRDI QIDQ429973

Amogh Deshpande

Publication date: 20 June 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-010-9190-y

zbMATH Keywords

bond default probabilitydown-and-out European barrier call optionLongstaff and Schwartz modelMarkov modulated economyrisk minimal martingale measurerisky zero coupon bond

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Derivative securities (option pricing, hedging, etc.) (91G20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Cites Work

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• Explicit solutions to European options in a regime-switching economy
• Option hedging for semimartingales
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Risk Minimizing Option Pricing in a Regime Switching Market

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