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|Scopus||Web of Science®||Altmetric|
|Title:||Pricing of discount bonds with a Markov switching regime|
|Citation:||Annals of Finance, 2014; 10(3):509-522|
|Robert J. Elliott, Katsumasa Nishide|
|Abstract:||We consider a Markov switching regime and price a discount bond using a CIR-type short rate model. An explicit formula is obtained for the bond price which includes the solution of a matrix ODE. Our model is easy to calculate and captures the effect of regime uncertainty in the price and term structure.|
|Keywords:||Bond pricing; term structure; Markov switching regime; CIR model; stochastic flows|
|Rights:||© Springer-Verlag Berlin Heidelberg 2013|
|Appears in Collections:||Mathematical Sciences publications|
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