A HIDDEN MARKOV APPROACH TO THE FORWARD PREMIUM PUZZLE

DOI10.1142/S0219024906003949zbMath1140.91387MaRDI QIDQ3421819

Robert J. Elliott, Bing Han

Publication date: 8 February 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

filteringhidden Markov modelsuncovered interest rate parity

Mathematics Subject Classification ID

Cites Work

• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Exact adaptive filters for Markov chains observed in Gaussian noise
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains

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