Stochastic DDM with regime-switching process

DOI10.3934/naco.2022031zbMath1544.91325MaRDI QIDQ6559154

Battulga Gankhuu

Publication date: 21 June 2024

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

option pricinglife insuranceML estimatorsdefault risklocally risk-minimizing strategystochastic DDM

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Dynamic linear models with Markov-switching
• Stock valuation along a Markov chain.
• Variance matters (in stochastic dividend discount models)
• Novel advancements in the Markov chain stock model: analysis and inference
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• On Quadratic Cost Criteria for Option Hedging
• Pricing of Unit-linked Life Insurance Policies
• DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL
• Arbitrage Theory in Continuous Time
• A Regime-Switching Model of Long-Term Stock Returns
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Hidden Markov Models for Time Series
• Stochastic finance. An introduction in discrete time

This page was built for publication: Stochastic DDM with regime-switching process