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Purpose – The purpose of this paper is to consider a discrete‐time, Markov, regime‐switching, affine term‐structure model for valuing bonds and other interest rate securities. The proposed model incorporates the impact of structural changes in (macro)‐economic conditions on...
Persistent link: https://www.econbiz.de/10014940204
Purpose – The purpose of this paper is to consider a discrete-time, Markov, regime-switching, affine term-structure model for valuing bonds and other interest rate securities. The proposed model incorporates the impact of structural changes in (macro)-economic conditions on interest-rate...
Persistent link: https://www.econbiz.de/10010675801
Persistent link: https://www.econbiz.de/10008332292
Persistent link: https://www.econbiz.de/10009330249
Persistent link: https://www.econbiz.de/10009949922
Persistent link: https://www.econbiz.de/10008890270
Persistent link: https://www.econbiz.de/10008389788
In this paper we study a conditional version of the Wang transform in the context of discrete GARCH models and their diffusion limits. Our first contribution shows that the conditional Wang transform and Duan's generalized local risk-neutral valuation relationship based on equilibrium...
Persistent link: https://www.econbiz.de/10013003225
In this article, we investigate the pricing and convergence of general non-affine non-Gaussian GARCH-based variance swap prices. Explicit solutions for fair strike prices under two different sampling schemes are derived using the extended Girsanov principle as our pricing kernel candidate....
Persistent link: https://www.econbiz.de/10012966035
This paper investigates the pricing and weak convergence of an asymmetric non-affine, non-Gaussian GARCH model when the risk-neutralization is based on a variance dependent exponential linear pricing kernel with stochastic risk aversion parameters. The risk-neutral dynamics are obtained for a...
Persistent link: https://www.econbiz.de/10012970440