A hidden Markov regime-switching model for option valuation
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Valuing commodity options and futures options with changing economic conditions," Economic Modelling, Elsevier, vol. 51(C), pages 524-533.
- Siu, Tak Kuen, 2016. "A self-exciting threshold jump–diffusion model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 168-193.
More about this item
KeywordsOption pricing Regime-switching Hidden Markov model Esscher transform Extended Girsanov principle Filters and predictors;
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