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

DOI10.1007/S11009-010-9190-YMaRDI QIDQ429973zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2133129 (Why is no real title available?)
• scientific article; zbMATH DE number 4085365 (Why is no real title available?)
• scientific article; zbMATH DE number 17495 (Why is no real title available?)
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Explicit solutions to European options in a regime-switching economy
• Option hedging for semimartingales
• Risk Minimizing Option Pricing in a Regime Switching Market

Cited in

(2)

• scientific article; zbMATH DE number 6532006 (Why is no real title available?)
• Pulled-to-par returns for zero-coupon bonds historical simulation value at risk

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