On Markov-modulated exponential-affine bond price formulae

Applied Mathematical Finance

Volumn 16, Issue 1, 2009, Pages 1-15

  Elliott, Robert J ^a,b   Siu, Tak Kuen ^c  

^a UNIVERSITY OF CALGARY   (Canada)

^b UNIVERSITY OF ADELAIDE   (Australia)

^c CURTIN UNIVERSITY   (Australia)

Author keywords

Bond valuation; Exponential affine form; Fundamental matrix solution; Regime switching forward measure

Indexed keywords

EID: 61649100751     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860802015744     Document Type: Article

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