On Markov-modulated Exponential-affine Bond Price Formulae
Year of publication: |
2009
|
---|---|
Authors: | Elliott, Robert ; Siu, Tak Kuen |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 16.2009, 1, p. 1-15
|
Publisher: |
Taylor & Francis Journals |
Subject: | Exponential affine form | bond valuation | regime-switching forward measure | fundamental matrix solution |
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