Página 1 dos resultados de 1125 itens digitais encontrados em 0.005 segundos
Resultados filtrados por Publicador: Springer

Asset pricing using trading volumes in a hidden regime-switching environment

Elliott, R.J.; Siu, T.K.
Fonte: Springer Publicador: Springer
Tipo: Artigo de Revista Científica
Publicado em //2015 Português
Relevância na Pesquisa
68.421616%
By utilizing information about prices and trading volumes, we discuss the pricing of European contingent claims in a continuous-time hidden regime-switching environment. Hidden market sentiments described by the states of a continuous-time, finite-state, hidden Markov chain represent a common factor for an asset’s drift and volatility, as well as its trading volumes. Using observations about trading volumes, we present a filtered estimate of the hidden common factor. The asset pricing problem is then considered in a filtered market, where the hidden drift and volatility are replaced by their filtered estimates. We adopt the Esscher transform to select an equivalent martingale measure for pricing and derive a partial-differential integral equation for the option price.; Robert J. Elliot, Tak Kuen Siu