Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows

Applied Mathematics and Computation

Volumn 216, Issue 11, 2010, Pages 3184-3190

  Siu, Tak Kuen ^a  

^a MACQUARIE UNIVERSITY   (Australia)

Author keywords

Bond valuation; Exponential affine form; Fundamental matrix solutions; Regime switching jump augmented Vasicek model; Stochastic flows

Indexed keywords

CHAINS; CONTINUOUS TIME SYSTEMS; COSTS; DIFFERENTIAL EQUATIONS; ECONOMICS; MARKOV PROCESSES; STOCHASTIC SYSTEMS;

BOND VALUATIONS; CONTINUOUS-TIME; DIFFERENT STAGES; FUNDAMENTAL MATRIX SOLUTIONS; REGIME SWITCHING; REGIME-SWITCHING JUMP-AUGMENTED VASICEK MODELS; STOCHASTIC FLOWS; SWITCH OVER TIME;

STOCHASTIC MODELS;

EID: 80052848606     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2010.04.037     Document Type: Article

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