DEFAULTABLE BOND PRICING USING REGIME SWITCHING INTENSITY MODEL
نویسندگان
چکیده
منابع مشابه
Pricing and Portfolio Optimization Analysis in Defaultable Regime-Switching Markets
We analyze pricing and portfolio optimization problems in defaultable regime switching markets driven by a underlying continuous-time Markov process. We contribute to both of these problems by obtaining new representations of option prices and optimal portfolio strategies under regime-switching. Using our option price representation, we develop a novel efficient method to price claims which may...
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ژورنال
عنوان ژورنال: Journal of applied mathematics & informatics
سال: 2013
ISSN: 1598-5857
DOI: 10.14317/jami.2013.711