Advanced search
Publication Cover
Communications in Statistics - Theory and Methods Volume 32, 2003 - Issue 12
Submit an article Journal homepage
202
Views
7
CrossRef citations to date
0
Altmetric
Original Articles

Empirical Performance and Asset Pricing in Hidden Markov Models

Cheng-Der Fuh Institute of Statistical Science, Academia Sinica, Taipei, Taiwan, R.O.C.Correspondence[email protected]
,
Inchi Hu Department of Information and System Management, Hong Kong University of Science and Technology, Hong Kong, China
&
Shih-Kuei Lin Institute of Statistical Science, Academia Sinica, Taipei, Taiwan, R.O.C.
Pages 2477-2512 | Published online: 02 Sep 2006

Citations (7)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (2)

Wei Wang, Linyi Qian & Wensheng Wang. (2016) Hedging of contingent claims written on non traded assets under Markov-modulated models. Communications in Statistics - Theory and Methods 45:12, pages 3577-3595.
Read now
Bong-Gyu Jang & Kum-Hwan Roh. (2009) Valuing qualitative options with stochastic volatility. Quantitative Finance 9:7, pages 819-825.
Read now

Articles from other publishers (5)

Byung-June Kim & Bong-Gyu Jang. (2021) Convertible bond valuation with regime switching. Chaos, Solitons & Fractals 150, pages 111201.
Crossref
Hedieh Rashidi Ranjbar & Abbas Seifi. (2015) A path-independent method for barrier option pricing in hidden Markov models. Physica A: Statistical Mechanics and its Applications 440, pages 1-8.
Crossref
Ji Hee Yoon, Bong-Gyu Jang & Kum-Hwan Roh. (2011) An analytic valuation method for multivariate contingent claims with regime-switching volatilities. Operations Research Letters 39:3, pages 180-187.
Crossref
G. Campolieti & R. Makarov. (2005) Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models. Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models.
Bong-Gyu Jang & Byung-June Kim. (2020) Convertible Bond Valuation with Regime Switching. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.