Article ID Journal Published Year Pages File Type
5054777 Economic Modelling 2013 8 Pages PDF
Abstract
► The valuation of bond options is considered in a regime-switching Hull-White model. ► The mean-reverting level and the volatility are related to economic regimes. ► A pricing formula is derived using the forward measure and the Fourier transform.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Pricing bond options under a Markovian regime-switching Hull-White model
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