On Markov‐modulated Exponential‐affine Bond Price Formulae

DOI10.1080/13504860802015744zbMath1169.91342OpenAlexW1971826192MaRDI QIDQ3395727

Publication date: 13 September 2009

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860802015744

zbMATH Keywords

fundamental matrix solution exponential affine form bond valuation regime-switching forward measure

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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