Implied Markov transition matrices under structural price models
Author:
Affiliation:
1. Industrial and Systems Engineering, Lehigh University, 200 W Packer Ave, Bethlehem, PA 18015, USA
2. School of Business, Stevens Institute of Technology, 1 Castle Point on Hudson, Hoboken, NJ 07030, USA
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1921242
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1. Computing the Fréchet Derivative of the Matrix Exponential, with an Application to Condition Number Estimation
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