Pricing bond options under a Markovian regime-switching Hull-White model
Yang Shen; Tak Kuen Siu
| Year of publication: |
2013
|
|---|---|
| Authors: | Shen, Yang ; Siu, Tak Kuen |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 30.2013, p. 933-940
|
| Subject: | Regime-switching | Hull-White model | Forward measures | Bond options | Inverse Fourier transform | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Anleihe | Bond | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009710001