A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy (Q429973)

From MaRDI portal
scientific article
Language Label Description Also known as
English
A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy
scientific article

    Statements

    A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy (English)
    0 references
    0 references
    20 June 2012
    0 references
    risky zero coupon bond
    0 references
    Longstaff and Schwartz model
    0 references
    Markov modulated economy
    0 references
    down-and-out European barrier call option
    0 references
    risk minimal martingale measure
    0 references
    bond default probability
    0 references

    Identifiers