Regime switching affine processes with applications to finance

DOI10.1007/s00780-020-00419-2zbMath1435.91192MaRDI QIDQ2308173

Peter Spreij, Misha van Beek, Erik M. M. Winands, M. R. H. Mandjes

Publication date: 25 March 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-020-00419-2

zbMATH Keywords

regime switching; Markov chain; derivatives pricing; Markov modulation; affine processes

Mathematics Subject Classification ID

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS, Markov-modulated affine processes

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