Pricing of Discount Bonds with a Markov Switching Regime

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

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Year of publication:	2014
Authors:	Elliott, Robert J.
Other Persons:	Nishide, Katsumasa (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Markov-Kette \| Markov chain \| Anleihe \| Bond \| Optionspreistheorie \| Option pricing theory
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Annals of Finance, Vol.10, No.3, pp.509-522 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2014 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.2009657 [DOI]
Classification:	G12 - Asset Pricing ; E32 - Business Fluctuations; Cycles
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013066582