Transition probabilities in a problem of stochastic process switching

DOI10.1016/J.ECONLET.2011.09.042zbMATH Open1242.91197OpenAlexW2067323039MaRDI QIDQ435792FDOQ435792

Dirk Veestraeten

Publication date: 12 July 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://pure.uva.nl/ws/files/926902/77090_315245.pdf

zbMATH Keywords

maximum likelihood estimationtransition probabilityderivative pricingabsorptionstochastic process switching

Mathematics Subject Classification ID

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

Cites Work

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• A Model of Stochastic Process Switching
• Stochastic Process Switching: Some Simple Solutions
• Solution to a Problem of Stochastic Process Switching

Cited In (4)

• Closed-form solutions to stochastic process switching problems
• Title not available (Why is that?)
• Estimating the most probable transition time for stochastic dynamical systems
• Another method for solving the problem of stochastic process switching

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