Pricing of discount bonds with a Markov switching regime

被引：10

作者：

Elliott R.J. ^{[1
,2
,3
]}

Nishide K. ^{[4
]}

机构：

[1] School of Mathematics, University of Adelaide, Adelaide, SA

[2] Center for Applied Financial Studies, University of South Australia, Adelaide, SA

[3] Haskayne School of Business, University of Calgary, Calgary, AB

[4] Department of Economics, Yokohama National University, Yokohama, 240-8501, 79-4 Tokiwadai, Hodogaya-ku

来源：

Annals of Finance | 2014年 / 10卷 / 3期

基金：

澳大利亚研究理事会; 日本学术振兴会;

关键词：

Bond pricing; CIR model; Markov switching regime; Stochastic flows; Term structure;

D O I：

10.1007/s10436-013-0244-3

中图分类号：

学科分类号：

摘要：

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. © 2013 Springer-Verlag Berlin Heidelberg.

引用

页码：509 / 522

页数：13

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