Pricing dynamic fund protection under hidden Markov models

DOI10.1093/IMAMAN/DPW014zbMath1473.91014OpenAlexW2521882760MaRDI QIDQ5382741

Rong-Ming Wang, Kun Fan, Tak Kuen Siu, Yang Shen

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpw014

zbMATH Keywords

hidden Markov modelViterbi algorithmdynamic fund protectionBaum-Welch algorithm

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (5)

Dynamic Fund Protection for Property Markets ⋮ Bond pricing formulas for Markov-modulated affine term structure models ⋮ FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS ⋮ Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS

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