Pricing regime-switching risk in an HJM interest rate environment

被引：14
|
作者：
Elliott, Robert J. [1 ,2 ,3 ]
Siu, Tak Kuen [4 ]
机构：
[1] Univ Adelaide, Sch Math Sci, Adelaide, SA 5005, Australia
[2] Univ Calgary, Haskayne Sch Business, Calgary, AB, Canada
[3] Univ South Australia, Ctr Appl Financial Studies, Adelaide, Australia
[4] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia
来源：
QUANTITATIVE FINANCE | 2016年 / 16卷 / 12期
关键词：
TERM STRUCTURE; CONTINGENT CLAIMS; MARKET MODEL; SECURITIES; SHIFTS;
D O I：
10.1080/14697688.2015.1136078
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
[No abstract available]
引用
收藏
页码：1791 / 1800
页数：10
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