Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps

@inproceedings{Chourdakis2002ContinuousTR,
  title={Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps},
  author={Kyriakos Chourdakis},
  year={2002}
}
A regime switching model in continuous time is introduced where a variety of jumps are allowed in addition to the diffusive component. The characteristic function of the process is derived in closed form, and is subsequently employed to create the likelihood function. In addition, standard results of the option pricing literature can be employed in order to compute derivative prices. To this end, the relationship between the physical and the risk adjusted probability measure is explored. The… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.

References

Publications referenced by this paper.
Showing 1-10 of 45 references

Testing Option Pricing Models

View 10 Excerpts
Highly Influenced

Markov chain approximations for stochastic nonlinear systems

P. G. Dupuis
 Symposium on Nonlinear Stochastic Dynamics. • 2002
View 4 Excerpts
Highly Influenced

Spanning and Derivative-Security Valuation

View 9 Excerpts
Highly Influenced

Where is the market going? Uncertain facts and novel theories

J. H. Cohrane
Economic Perspectives 21, 3–37. • 1997
View 5 Excerpts
Highly Influenced

Lévy Processes

J. Bertoin
Cambridge Tracks in Mathematics. Cambridge, U.K.: Cambridge University Press. • 1996
View 7 Excerpts
Highly Influenced

A new approach to the economic analysis of nonstationary time series and the business cycle

J. D. Hamilton
Econometrica 57, 357–384. • 1989
View 12 Excerpts
Highly Influenced

Seminonparametric maximum likelihood estimation

R. A. Galland, D. W. Nychka
Econometrica 55, 363–390. • 1987
View 4 Excerpts
Highly Influenced

The Advanced Theory of Statistics (4th ed.), Volume I

M. Kendal, A. Stuart
1977
View 4 Excerpts
Highly Influenced

Estimating jump diffusions for equity returns

T. G. Andersen, L. Benzoni, J. Lund
Technical report, Kellogg Graduate School of Management. • 1998
View 2 Excerpts
Highly Influenced

Similar Papers

Loading similar papers…