A hidden markov multi-asset price model
| dc.contributor.author | Elliott, Robert J., author | |
| dc.contributor.author | Tao, L., author | |
| dc.contributor.author | Miao, Hong, author | |
| dc.contributor.author | Canadian Applied Mathematics Quarterly, publisher | |
| dc.date.accessioned | 2020-05-19T05:03:40Z | |
| dc.date.available | 2020-05-19T05:03:40Z | |
| dc.date.issued | 2007-01 | |
| dc.description | Includes bibliographical references (pages 25-26). | |
| dc.description | Published 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.abstract | Prices 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.medium | born digital | |
| dc.format.medium | articles | |
| dc.identifier.bibliographicCitation | Elliott, 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.uri | https://hdl.handle.net/10217/206898 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Colorado State University. Libraries | |
| dc.relation.ispartof | Faculty Publications | |
| dc.rights | ©2006 Applied Mathematics Institute, University of Alberta. | |
| dc.rights | Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright. | |
| dc.subject | mean reverting | |
| dc.subject | commodity markets | |
| dc.subject | regime switching | |
| dc.subject | hidden Markov Chain | |
| dc.subject | EM algorithm | |
| dc.title | A hidden markov multi-asset price model | |
| dc.type | Text |
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