A simple regime switching term structure model

DOI10.1007/PL00013523zbMath0963.60037OpenAlexW2074563566MaRDI QIDQ5926474

Asbjørn Hansen, Rolf Poulsen

Publication date: 1 March 2001

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/pl00013523

zbMATH Keywords

term structure of interest ratesnumerical methodsoption pricingregime switching

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Extrapolation to the limit, deferred corrections (65B05)

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