Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows

DOI10.1016/j.amc.2010.04.037zbMath1194.91088OpenAlexW2035496417MaRDI QIDQ984362

Tak Kuen Siu

Publication date: 19 July 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2010.04.037

zbMATH Keywords

stochastic flowsexponential affine formbond valuationfundamental matrix solutionsregime-switching jump-augmented Vasicek model

Mathematics Subject Classification ID

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