Maximum Likelihood Estimation for a Markov-Modulated Jump-Diffusion Model
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Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-12778-6_11
Reference19 articles.
1. Baltazar-Larios, F., Esparza, L.J.R.: Bayesian estimation for the Markov-modulated diffusion risk model. In: Antoniano-Villalobos, I., Mena, R., Mendoza, M., Naranjo, L., Nieto-Barajas, L. (eds) Selected Contributions on Statistics and Data Science in Latin America. FNE 2018. Springer Proceedings in Mathematics & Statistics, vol. 301. Springer, Cham (2019). https://doi.org/10.1007/978-3-030-31551-1_2
2. Baltazar-Larios, F., Esparza, L.J.R.: Statistical inference for partially observed Markov-modulated diffusion risk model. In: Methodology and Computing in Applied Probability. Version on line (2022). https://doi.org/10.1007/s11009-022-09932-7
3. Bladt, M., Esparza, L.J.R., Friis, B.F.: Fisher information and statistical inference for phase-type distributions. J. Appl. Probab. 48(A), 277–293 (2011). https://doi.org/10.1239/jap/1318940471
4. Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Polit. Econ. 81(3), 637–654 (1973). https://doi.org/10.1086/260062
5. Clark, P.K.: A subordinated stochastic process model with finite variance for speculative prices. Econometrica 41(1), 135–155 (1973). https://doi.org/10.2307/1913889
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