A Simple Novel Approach to Valuing Risky Zero Coupon Bond in a Markov Regime Switching Economy
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DOI: 10.1007/s11009-010-9190-y
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Keywords
Risky zero coupon bond; Longstaff and Schwartz model; Markov modulated economy; Down-and-Out European Barrier Call option; Risk Minimal martingale measure; Bond default probability;All these keywords.
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