A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy (Q429973)
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scientific article; zbMATH DE number 6048531
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| English | A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy |
scientific article; zbMATH DE number 6048531 |
Statements
A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy (English)
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20 June 2012
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risky zero coupon bond
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Longstaff and Schwartz model
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Markov modulated economy
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down-and-out European barrier call option
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risk minimal martingale measure
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bond default probability
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0.87524074
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0.8749959
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0.8692993
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0.8680137
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0.86734855
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0.86502874
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0.86311394
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