Pricing of discount bonds with a Markov switching regime
DOI10.1007/S10436-013-0244-3zbMATH Open1319.91147OpenAlexW3123393727MaRDI QIDQ481375FDOQ481375
Authors: Robert J. Elliott, Katsumasa Nishide 
Publication date: 12 December 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: http://www.kier.kyoto-u.ac.jp/DP/DP859.pdf
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Cites Work
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Pricing interest-rate-derivative securities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- An interest rate model with a Markovian mean reverting level
- Bond pricing in a hidden Markov model of the short rate
- A simple regime switching term structure model
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- Stochastic flows and the forward measure
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
Cited In (15)
- Discount models
- Bond pricing formulas for Markov-modulated affine term structure models
- A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy
- Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
- Saddlepoint approximations to option price in a regime-switching model
- Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- Wellposedness of viscosity solutions to weakly coupled HJB equations under Hölder \textit{continuous conditions}
- A Markov regime-switching marked point process for short-rate analysis with credit risk
- A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps
- Title not available (Why is that?)
- Optimal investment in multidimensional Markov-modulated affine models
- HARA utility maximization in a Markov-switching bond-stock market
- The effects of different parameterizations of Markov-switching in a CIR model of bond pricing
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
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