On Markov‐modulated Exponential‐affine Bond Price Formulae (Q3395727)
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scientific article; zbMATH DE number 5603429
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| English | On Markov‐modulated Exponential‐affine Bond Price Formulae |
scientific article; zbMATH DE number 5603429 |
Statements
On Markov‐modulated Exponential‐affine Bond Price Formulae (English)
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13 September 2009
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exponential affine form
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bond valuation
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regime-switching forward measure
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fundamental matrix solution
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0.8970710039138794
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0.828310489654541
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0.8067365884780884
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0.8009385466575623
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0.796518862247467
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