Please use this identifier to cite or link to this item: http://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
RMID: 0030011773
DOI: 10.1007/s10436-013-0244-3
Appears in Collections:Mathematical Sciences publications

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