A hidden Markov regime-switching model for option valuation (Q661263)
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scientific article; zbMATH DE number 6004766
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A hidden Markov regime-switching model for option valuation |
scientific article; zbMATH DE number 6004766 |
Statements
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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0.8491573333740234
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0.8176818490028381
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0.8151259422302246
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0.8019121289253235
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0.800116777420044
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