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Tag: cre-pricing
5 items with this tag.
Apr 13, 2026
The asset-pricing no-bubble condition for regime-switching CRE models reduces to a finite spectral-radius test
no-bubble
transversality
spectral-radius
regime-switching
mjls
perron-frobenius
cre-pricing
Apr 13, 2026
Bond and dividend-strip prices in regime-switching affine models admit closed-form Riccati recursions conditional on a regime path
riccati
regime-switching
asset-pricing
exponential-affine
cre-pricing
mjls
Apr 13, 2026
Coupled Riccati Recursions for Regime-Switching Asset Pricing
riccati
regime-switching
asset-pricing
exponential-affine
mjls
cre-pricing
Apr 13, 2026
Spectral Radius Test for Markov Pricing Operator (Asset-Pricing No-Bubble Condition)
no-bubble
transversality
spectral-radius
regime-switching
mjls
perron-frobenius
cre-pricing
Apr 13, 2026
Riccati Equations for the Leather-Sagi Model
riccati
exponential-quadratic
no-arbitrage
regime-switching
cre-pricing
derivation