When the ``bull meets the ``bear: A first passage time problem for a hidden Markov process
From MaRDI portal
Publication:1610831
DOI10.1023/A:1012201109468zbMath0997.60072OpenAlexW2181364130MaRDI QIDQ1610831
Publication date: 20 August 2002
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1012201109468
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (10)
Pricing exotic options in a regime switching economy: a Fourier transform method ⋮ Ergodicity and first passage probability of regime-switching geometric Brownian motions ⋮ Some explicit expressions for GBM with Markovian switching and parameter estimations ⋮ Ultracontractivity for Brownian motion with Markov switching ⋮ On the default probability in a regime-switching regulated market ⋮ A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ First-passage times of regime switching models ⋮ MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL ⋮ Some characterizations for Brownian motion with Markov switching
This page was built for publication: When the ``bull meets the ``bear: A first passage time problem for a hidden Markov process
