The MEMMs for Markov switching Lévy processes (Q3016896)
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scientific article; zbMATH DE number 5927012
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| English | The MEMMs for Markov switching Lévy processes |
scientific article; zbMATH DE number 5927012 |
Statements
19 July 2011
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regime switching Esscher transform
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Lévy process
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hidden Markov chain model
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minimal entropy martingale measure
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0.8935847282409668
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0.8643239736557007
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0.8574708104133606
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0.8310663104057312
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