Some explicit expressions for GBM with Markovian switching and parameter estimations

DOI10.1080/03610926.2022.2100908OpenAlexW4288084245MaRDI QIDQ6118234

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Publication date: 23 February 2024

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2022.2100908

zbMATH Keywords

geometric Brownian motionparameter estimationsMarkovian switchingmean exit time

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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