Shen, Yang; Siu, Tak Kuen - In: Economic Modelling 30 (2013) C, pp. 933-940
In this paper, we investigate the valuation of bond options under a Markovian regime-switching Hull–White model, where both the mean-reverting level and the volatility of the interest rate are modulated by a continuous-time, finite-state Markov chain. Using techniques of measure changes and...