ورقة بحثية
On Markov Modulated Mean-Reverting Price-Difference Models = نموذج مركوفى للفرق بين الأسعار في سوق المال

Malcom. W. P.


 

On Markov Modulated Mean-Reverting Price-Difference Models = نموذج مركوفى للفرق بين الأسعار في سوق المال

Malcom. W. P.

In this paper we develop a stochastic model incorporating a double-Markov modulated mean-reversion model. Unlike a price process the basis process X can take positive or negative values. This model is based on an explicit discretisation of the corresponding continuous time dynamics. The new feature in our model is that we suppose the mean reverting level in our dynamics as well as the noise coefficient can change according to the states of some finite-state Markov processes which could be the economy and some other unseen random phenomenon.

In this paper we develop a stochastic model incorporating a double-Markov modulated mean-reversion model. Unlike a price process the basis process X can take positive or negative values. This model is based on an explicit discretisation of the corresponding continuous time dynamics. The new feature ...

مادة فرعية

المؤلف : Malcom. W. P.

مؤلف مشارك : Aggoun, Lakhdar
Al Lawati, Mohamed

بيانات النشر : Muscat، Sultanate of Oman : Sultan Qaboos Journal of Science، 2008مـ.

التصنيف الموضوعي : العلوم البحتة| .

المواضيع : Mathematics .

Stock Exchanges .

الرياضيات .

البورصات .

رقم الطبعة : 1

المصدر : Sultan Qaboos University : Muscat، Sultanate of Oman.

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