A hidden Markov regime-switching model for option valuation
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Publication:661263
DOI10.1016/j.insmatheco.2010.08.003zbMath1231.91443OpenAlexW2074150646MaRDI QIDQ661263
Chuin Ching Liew, Tak Kuen Siu
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.08.003
hidden Markov modeloption pricingregime-switchingEsscher transformextended Girsanov principlefilters and predictors
Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27)
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