An interest rate model with Markov chain volatility level

We consider a two factor interest rate model, where the volatility level follows continuous time finite state Markov chain. We derive the close form solution of bond price that involves fundamental matrix.

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Year of publication:	2010-06-19
Authors:	Radkov, Petar

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Radkov, Petar (2010): An interest rate model with Markov chain volatility level.
Classification:	C68 - Computable General Equilibrium Models ; G00 - Financial Economics. General
Source:	BASE

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015245152