Elliott, Robert; Siu, Tak - In: Asia-Pacific Financial Markets 22 (2015) 2, pp. 133-149
<Para ID="Par1">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...</para>