A convergence result in the estimation of Markov chains with application to compound options
From MaRDI portal
(Redirected from Publication:2431715)
Random matrices (algebraic aspects) (15B52) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Recommendations
- Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain
- Improved estimators for constrained Markov chain models
- Empirical convergence rates for continuous-time Markov chains
- Efficiency of empirical estimators for Markov chains
- scientific article; zbMATH DE number 4043104
Cites work
- An actuarial approach to option pricing under the physical measure and without market assumptions
- ASYMPTOTIC PROPERTIES FOR MAXIMUM LIKELIHOOD ESTIMATORS FOR RELIABILITY AND FAILURE RATES OF MARKOV CHAINS
- scientific article; zbMATH DE number 3174032 (Why is no real title available?)
- scientific article; zbMATH DE number 3701980 (Why is no real title available?)
- Statistical Inference about Markov Chains
Cited in
(2)
This page was built for publication: A convergence result in the estimation of Markov chains with application to compound options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2431715)
