On Markov-modulated Exponential-affine Bond Price Formulae
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- Shen, Yang & Siu, Tak Kuen, 2013. "Longevity bond pricing under stochastic interest rate and mortality with regime-switching," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 114-123.
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KeywordsExponential affine form; bond valuation; regime-switching forward measure; fundamental matrix solution;
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