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Applied Mathematical Finance Volume 16, 2009 - Issue 1
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PAPERS

On Markov‐modulated Exponential‐affine Bond Price Formulae

Robert J. Elliott Haskayne School of Business, University of Calgary, Calgary, Alberta, Canada; School of Mathematical Sciences, University of Adelaide, SA 5005, AustraliaCorrespondence[email protected]
&
Tak Kuen Siu Department of Mathematics and Statistics, Curtin University of Technology, Perth, WA 6845, Australia
Pages 1-15 | Received 24 Apr 2007, Accepted 26 Jul 2007, Published online: 02 Mar 2009

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Rogemar Mamon, Heng Xiong & Yixing Zhao. (2021) The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework. North American Actuarial Journal 25:3, pages 334-359.
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