Transition probabilities in a problem of stochastic process switching

DOI10.1016/J.ECONLET.2011.09.042MaRDI QIDQ435792zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3436435 (Why is no real title available?)
• scientific article; zbMATH DE number 1528193 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• scientific article; zbMATH DE number 3088518 (Why is no real title available?)
• A Model of Stochastic Process Switching
• Solution to a Problem of Stochastic Process Switching
• Stochastic Process Switching: Some Simple Solutions

Cited in

(5)

• Closed-form solutions to stochastic process switching problems
• scientific article; zbMATH DE number 1795912 (Why is no real title available?)
• Analytical prediction of transition probabilities in the conditional logit model
• Estimating the most probable transition time for stochastic dynamical systems
• Another method for solving the problem of stochastic process switching

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