Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups

DOI10.1007/s10479-013-1496-zzbMath1291.60159OpenAlexW2115444324MaRDI QIDQ2449361

Ward Whitt, Kun Soo Park

Publication date: 8 May 2014

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-013-1496-z

zbMATH Keywords

continuous-time Markov chainhedge fundlockup premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Uses Software

• LAPACK
• NLPQL

Cites Work

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• LAPACK Users' Guide