Regime switching affine processes with applications to finance

Autor: Erik Winands, Michel Mandjes, Peter Spreij, Misha van Beek

Publikováno v: Finance and Stochastics, 24, 309-333
Finance and Stochastics, 24(2), 309-333. Springer Verlag
Finance and Stochastics, 24, 2, pp. 309-333

We introduce the notion of a regime switching affine process. Informally this is a Markov process that behaves conditionally on each regime as an affine process with specific parameters. To facilitate our analysis, specific restrictions are imposed o

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9fa2578a0f3b6a7080aae595d6e0988f
https://doi.org/10.1007/s00780-020-00419-2