VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS

DOI10.1017/S0269964820000236zbMath1505.91384OpenAlexW3021409206MaRDI QIDQ5051948

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Publication date: 18 November 2022

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964820000236

zbMATH Keywords

Markov chainsregime-switching modelvolatility analysis

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

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• Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing
• A recursive algorithm for selling at the ultimate maximum in regime-switching models
• Stock Trading: An Optimal Selling Rule
• Perturbation analysis of inhomogeneous finite Markov chains
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Understanding Markov Chains
• Passage-time generating functions for continuous-time finite Markov chains
• Occupation times for two state Markov chains

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