Regime switching affine processes with applications to finance
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Publication:2308173
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
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.)
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