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dc.contributor.authorElliott, Robert J.
dc.contributor.authorTao, L.
dc.contributor.authorMiao, Hong
dc.date.accessioned2020-05-19T05:03:40Z
dc.date.available2020-05-19T05:03:40Z
dc.date.issued2007-01
dc.descriptionIncludes bibliographical references (pages 25-26).
dc.descriptionPublished as: Canadian Applied Mathematics Quarterly, vol.15, no.1, pp.23-51, Spring 2007, available at http://www.math.ualberta.ca/ami/CAMQ/pdf_files/vol_15/15_1/15_1c.pdf.
dc.description.abstractPrices for some real world tradable assets, for instance natural gas and oil, are correlated, and the price dynamics for those assets are different in different economic environments. In this paper we extend the mean reverting model to multi-assets and model correlation between prices. Our model also allows the means and the mean reverting factors to switch between different regimes by including a Hidden Markov chain which models the different economic environments, or “states of the world.” We then obtain approximate estimates for the parameters by applying filters and the EM algorithm. Approximate derivative prices are also given.
dc.format.mediumborn digital
dc.format.mediumarticles
dc.identifier.citationElliott, Robert & Lin, Tao & Miao, Hong. (2007). A hidden Markov multi-assets price model. The Canadian Applied Mathematics Quarterly. 15(1), 23-51. http://www.math.ualberta.ca/ami/CAMQ/pdf_files/vol_15/15_1/15_1c.pdf
dc.identifier.urihttps://hdl.handle.net/10217/206898
dc.languageEnglish
dc.publisherColorado State University. Libraries
dc.publisher.originalCanadian Applied Mathematics Quarterly
dc.relation.ispartofFaculty Publications - Department of Finance and Real Estate
dc.rights©2006 Applied Mathematics Institute, University of Alberta.
dc.subjectmean reverting
dc.subjectcommodity markets
dc.subjectregime switching
dc.subjecthidden Markov Chain
dc.subjectEM algorithm
dc.titleHidden markov multi-asset price model, A
dc.typeText


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