Pricing of discount bonds with a Markov switching regime

DOI10.1007/s10436-013-0244-3zbMath1319.91147OpenAlexW3123393727MaRDI QIDQ481375

Katsumasa Nishide, Robert J. Elliott

Publication date: 12 December 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: http://www.kier.kyoto-u.ac.jp/DP/DP859.pdf

zbMATH Keywords

stochastic flowterm structurebond pricingCIR modelMarkov switching regime

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (6)

Saddlepoint approximations to option price in a regime-switching model ⋮ HARA utility maximization in a Markov-switching bond–stock market ⋮ A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps ⋮ Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility ⋮ Optimal investment in multidimensional Markov-modulated affine models ⋮ Wellposedness of viscosity solutions to weakly coupled HJB equations under Hölder \textit{continuous conditions}

Cites Work

• On Markov‐modulated Exponential‐affine Bond Price Formulae
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• An interest rate model with a Markovian mean reverting level
• Pricing Interest-Rate-Derivative Securities
• Bond pricing in a hidden Markov model of the short rate
• A simple regime switching term structure model
• Stochastic flows and the forward measure

This page was built for publication: Pricing of discount bonds with a Markov switching regime