Adelaide Research & Scholarship
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https://hdl.handle.net/2440/94296
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| Type: | Journal article |
| Title: | Pricing of discount bonds with a Markov switching regime |
| Author: | Elliott, R. Nishide, K. |
| Citation: | Annals of Finance, 2014; 10(3):509-522 |
| Publisher: | Springer Verlag |
| Issue Date: | 2014 |
| ISSN: | 1614-2454 1614-2446 |
| Statement of Responsibility: | 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 |
| DOI: | 10.1007/s10436-013-0244-3 |
| Appears in Collections: | Aurora harvest 2 Mathematical Sciences publications |
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