Implied Markov transition matrices under structural price models

Autor:	Boris Defourny, Somayeh Moazeni
Rok vydání:	2021
Předmět:	Markov transition 050208 finance 05 social sciences Markov process symbols.namesake 0502 economics and business Market data symbols Transition matrices Statistical physics 050207 economics General Economics Econometrics and Finance Finance Mathematics
Zdroj:	Quantitative Finance. 21:1935-1954
ISSN:	1469-7696 1469-7688
DOI:	10.1080/14697688.2021.1921242
Popis:	This paper proposes an approach to compute the implied transition matrices from observations of market data on financial derivatives, when the price of the underlying originates from a structural m...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::3caab886ed66a2e3a4d48932019f30ae https://doi.org/10.1080/14697688.2021.1921242 Zobrazit plný text záznamu Plný text ve formátu PDF