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~subject:"Markov chain"
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Bond valuation under a discrete-time regime-switching term-structure model and its
continuous-time
extension
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alex
- In:
Managerial Finance
37
(
2011
)
October
,
pp. 1025-1047
give exponential affine forms of bond prices using backward induction. The authors also consider a
continuous-time
…
Persistent link: https://www.econbiz.de/10010675801
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