کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4632140 1340637 2010 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows
چکیده انگلیسی

In this article, we shall explore the state of art of stochastic flows to derive an exponential affine form of the bond price when the short rate process is governed by a Markovian regime-switching jump-diffusion version of the Vasicek model. We provide the flexibility that the market parameters, including the mean-reversion level, the volatility rate and the intensity of the jump component switch over time according to a continuous-time, finite-state Markov chain. The states of the chain may be interpreted as different states of an economy or different stages of a business cycle. We shall provide a representation for the exponential affine form of the bond price in terms of fundamental matrix solutions of linear matrix differential equations.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 216, Issue 11, 1 August 2010, Pages 3184–3190
نویسندگان
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