| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7383054 | Physica A: Statistical Mechanics and its Applications | 2011 | 15 Pages |
Abstract
⺠Discrete time semi-Markov switching interest rate models. ⺠Absence of arbitrage, equivalent martingale measures and market incompleteness. ⺠Model implications include non-recombining paths. ⺠Minimal entropy measure characterization. ⺠Application to bond option pricing.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Julien Hunt, Pierre Devolder,