Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
type: Item
instance of: scholarly article
title: Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
zbMATH Open document ID: 1194.91088
author: Tak Kuen Siu
published in: Applied Mathematics and Computation
publication date: 2010-07-19T00:00:00Z
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60J27
zbMATH DE Number: 5757583
zbMATH Keywords: exponential affine form
zbMATH Keywords: regime-switching jump-augmented Vasicek model
zbMATH Keywords: bond valuation
zbMATH Keywords: stochastic flows
zbMATH Keywords: fundamental matrix solutions
MaRDI profile type: Publication
full work available at URL: j.amc.2010.04.037
OpenAlex ID: W2035496417
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DOI: 10.1016/J.AMC.2010.04.037
description: scientific article; zbMATH DE number 5757583