Pricing dynamic fund protection under hidden Markov models
Kun Fan, Yang Shen, Tak Kuen Siu and Rongming Wang
| Year of publication: |
January 2018
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|---|---|
| Authors: | Fan, Kun ; Shen, Yang ; Siu, Tak Kuen ; Wang, Rongming |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 29.2018, 1, p. 99-117
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| Subject: | dynamic fund protection | hidden Markov model | Baum-Welch algorithm | Viterbi algorithm | Markov-Kette | Markov chain | Theorie | Theory | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpw014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011858973