کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4632140 | 1340637 | 2010 | 7 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows](/preview/png/4632140.png)
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.
Journal: Applied Mathematics and Computation - Volume 216, Issue 11, 1 August 2010, Pages 3184–3190