A new algorithm for calibrating local regime-switching models
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Publication:5000475
DOI10.1093/imaman/dpaa012MaRDI QIDQ5000475
Publication date: 13 July 2021
Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imaman/dpaa012
90-XX: Operations research, mathematical programming
91-XX: Game theory, economics, finance, and other social and behavioral sciences