A Family of Non Linear Models in a Market with Semi Markov Regimes: Application to the Commodity and the Derivative Market

Patrick Assonken; Gangaram S. Ladde

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A Family of Non Linear Models in a Market with Semi Markov Regimes: Application to the Commodity and the Derivative Market

机译：一个与Semi Markov制度的市场中的非线性模型：在商品和衍生市场的应用

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This paper introduces a family of coupled semi Markov regime switching multidimensional non linear models for general asset prices. Two particular instances of the models are explored. The first instance is one modeling commodity prices. Estimation formulas for historical parameters are developed. The second instance of the family of models introduced is one generalizing Heston model. It allows for semi Markov regime switching of Heston parameters. We develop a general semi closed formula for vanilla option prices given the risk neutral option parameters.

机译：本文介绍了一系列耦合半马尔可夫政权切换多维非线性模型，普通资产价格。探索了两种特定的模型实例。第一例是一种型号商品价格。开发了历史参数的估计公式。介绍的模型系列的第二个例子是一个概括的heston模型。它允许Semi Markov Engime切换Heston参数。鉴于风险中性选项参数，我们开发了一个Vanilla选项价格的一般半封闭式公式。

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《International Journal of Statistics and Probability》 |2017年第6期|共21页
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Patrick Assonken; Gangaram S. Ladde;
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A Family of Non Linear Models in a Market with Semi Markov Regimes: Application to the Commodity and the Derivative Market

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