On Markov-modulated Exponential-affine Bond Price Formulae
AbstractWe consider the bond valuation problem when the short rate process is described by a Markovian regime-switching Hull-White model or a Markovian regime-switching Cox-Ingersoll-Ross model. In each of the two short rate models, we establish a Markov-modulated exponential-affine bond price formula with coefficients given in terms of fundamental matrix solutions of linear matrix differential equations.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 16 (2009)
Issue (Month): 1 ()
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