Pricing of discount bonds with a Markov switching regime
From MaRDI portal
Publication:481375
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
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
