Pricing of Discount Bonds with a Markov Switching Regime
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- Robert Elliott & Katsumasa Nishide, 2014. "Pricing of discount bonds with a Markov switching regime," Annals of Finance, Springer, vol. 10(3), pages 509-522, August.
References listed on IDEAS
- Camilla LandÊn, 2000. "Bond pricing in a hidden Markov model of the short rate," Finance and Stochastics, Springer, vol. 4(4), pages 371-389.
- Asbjørn T. Hansen & Rolf Poulsen, 2000. "A simple regime switching term structure model," Finance and Stochastics, Springer, vol. 4(4), pages 409-429.
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"Transform Analysis and Asset Pricing for Affine Jump-Diffusions,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Robert J. Elliott & Katsumasa Nishide & Carlton‐James U. Osakwe, 2016. "Heston‐Type Stochastic Volatility with a Markov Switching Regime," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(9), pages 902-919, September.
- Mengzhe Zhang & Leunglung Chan, 2016. "Saddlepoint approximations to option price in a regime-switching model," Annals of Finance, Springer, vol. 12(1), pages 55-69, February.
- Daniela Neykova & Marcos Escobar & Rudi Zagst, 2015. "Optimal investment in multidimensional Markov-modulated affine models," Annals of Finance, Springer, vol. 11(3), pages 503-530, November.
More about this item
KeywordsInvestment; Bond pricing; term structure; Markov switching regime; Vasicek model; CIR model; stochastic flows.;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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