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Tag: exponential-affine
2 items with this tag.
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