Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
Work
Year: 2012
Type: article
Source: Applied Mathematical Finance
Authors Robert J. Elliott, Tak Kuen Siu
Institutions University of Calgary, Macquarie University
Cites: 46
Cited by: 38
Related to: 10
FWCI: 3.584
Citation percentile (by year/subfield): 93.35
Subfield: Finance
Domain: Social Sciences
Open Access status: closed