A convergence result in the estimation of Markov chains with application to compound options

DOI10.1080/15598608.2008.10411903zbMath1211.62142OpenAlexW2121877645MaRDI QIDQ2431715

Guglielmo D'Amico

Publication date: 18 April 2011

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2008.10411903

zbMATH Keywords

covariance structuremultidimensional matricescompound options

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Random matrices (algebraic aspects) (15B52)

Related Items (1)

Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings

Cites Work

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• An actuarial approach to option pricing under the physical measure and without market assumptions
• Statistical Inference about Markov Chains
• ASYMPTOTIC PROPERTIES FOR MAXIMUM LIKELIHOOD ESTIMATORS FOR RELIABILITY AND FAILURE RATES OF MARKOV CHAINS

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