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

DOI10.1007/S11009-010-9190-YzbMATH Open1241.91112OpenAlexW2148867757WikidataQ57434314 ScholiaQ57434314MaRDI QIDQ429973FDOQ429973

Authors: Amogh Deshpande 

Publication date: 20 June 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-010-9190-y

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zbMATH Keywords

bond default probabilitydown-and-out European barrier call optionLongstaff and Schwartz modelMarkov modulated economyrisk minimal martingale measurerisky zero coupon bond

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Macroeconomic theory (monetary models, models of taxation) (91B64) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Cites Work

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• Option hedging for semimartingales
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Risk Minimizing Option Pricing in a Regime Switching Market
• Explicit solutions to European options in a regime-switching economy
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Cited In (2)

• Title not available (Why is that?)
• Pulled-to-par returns for zero-coupon bonds historical simulation value at risk

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