Semi-Markov regime switching interest rate models under minimal entropy martingale measure

DOI10.3724/SP.J.1249.2016.02154MaRDI QIDQ2824326zbMATH OpenOpenAlexFDO

Authors Xingrui Wang, Xiangdong Liu

Publication date 6 October 2016

Published in Journal of Shenzhen University. Science \& Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3724/sp.j.1249.2016.02154

zbMATH Keywords

minimal entropy martingale measurebond option pricingterm structure of interest ratebinary tree modelarbitrage free method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(4)

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• A semi-martingale representation for a semi-Markov chain with application to finance

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