A hidden Markov regime-switching model for option valuation (Q661263): Difference between revisions

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Latest revision as of 21:14, 4 July 2024

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A hidden Markov regime-switching model for option valuation
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    A hidden Markov regime-switching model for option valuation (English)
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    10 February 2012
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    option pricing
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    regime-switching
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    hidden Markov model
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    Esscher transform
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    extended Girsanov principle
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    filters and predictors
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