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Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension
16 references·1 citing·28 second hop
Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension (2011)Bond valuation under a discrete‐time regi…The Term Structure of Real Rates and Expected Inflation (2007)The Term Structure of Real Ra…Theory of rational option pricing (2005)Theory of rational option pri…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Term Structure Dynamics in Theory and Reality (2003)Term Structure Dynamics in Th…Term Structure of Interest Rates with Regime Shifts (2002)Term Structure of Interest Ra…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Mathematics of Financial Markets (1999)Mathematics of Financial Mark…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…A continuous time approach to the pricing of bonds (1979)A continuous time approach to…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…On the probability function in the collective theory of risk (1932)On the probability function i…Pricing regime-switching risk in an HJM interest rate environment (2016)Pricing regime-switching risk…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Coherent Measures of Risk (1999)Optimum consumption and portfolio rules in a continuous-time model (1971)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Market Integration and Contagion (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)How Sovereign Is Sovereign Credit Risk? (2011)The Pricing of Options and Corporate Liabilities (1973)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Prospect Theory and Asset Prices (2001)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Stochastic Differential Equations and Diffusion Processes (1983)Forecasting the Term Structure of Government Bond Yields (2003)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Option pricing: A simplified approach (1979)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Stock Return Predictability: Is it There? (2006)
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References

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  • 2005Theory of rational option pricing7,183 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 2002Regime Switches in Interest Rates874 cited
  • 1979A continuous time approach to the pricing of bonds796 cited
  • 2007The Term Structure of Real Rates and Expected Inflation538 cited
  • 2002Term Structure of Interest Rates with Regime Shifts456 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 1932On the probability function in the collective theory of risk387 cited
  • 2003Term Structure Dynamics in Theory and Reality367 cited
  • 1999Mathematics of Financial Markets

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  • 2016Pricing regime-switching risk in an HJM interest rate environment16 cited