Hidden Markov Models In Finance

By Rogemar S. Mamon, Robert J. R. Elliott. 2007

143 citations recorded by the source corpus.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/310599d2be444b9e124ac3eaaa94450ac278a74f

How researchers see this paper

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1. Z. Ahmadi
2. Ali Foroush Bastani
3. Davood Damircheli

Citations in the corpus

• A radial basis collocation method for pricing American options under regime-switching jump-diffusion models (2013, background): “Recent years have witnessed the widespread success of a series of asset price models, widely known under the heading of regime-switching models (see [5], [25] and [14] and the many references cited therein).”