Work

Pricing bond options under a Markovian regime-switching Hull–White model

Year: 2012

Type: article

Source: Economic Modelling

DOI: 10.1016/j.econmod.2012.09.041

Authors: Yang Shen, Tak Kuen Siu

Institutions: Macquarie University, City, University of London

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Australian Research Council

Award: Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models

OpenAlex ID: W2071624975

FWCI: 2.65

Cites: 28

Cited by: 28

Related to: 10