الملخص
In this paper we develop a stochastic model incorporating a double-Markov modulated mean-reversion model. Unlike a price process the basis process X can take positive or negative values. This model is based on an explicit discretisation of the corresponding continuous time dynamics. The new feature in our model is that we suppose the mean reverting level in our dynamics as well as the noise coefficient can change according to the states of some finite-state Markov processes which could be the economy and some other unseen random phenomenon.
الكلمات المفتاحية
بيانات النشر
- المعرّف الرقمي
- 10.24200/squjs.vol13iss0pp55-62
- المجلة
- مجلة جامعة السلطان قابوس للعلوم, 13, 55
- الناشر
- جامعة السلطان قابوس
- وصول مفتوح
- وصول مفتوح ذهبي
- الترخيص
- CC BY 4.0
اقتبس هذه المقالة
APA 7
Malcom, W. P., Aggoun, L., & Al-Lawati, M. (2008). On Markov Modulated Mean-Reverting Price-Difference Models. Sultan Qaboos University Journal for Science, 13, 55. https://doi.org/10.24200/squjs.vol13iss0pp55-62
MLA 9
Malcom, W. P., et al. "On Markov Modulated Mean-Reverting Price-Difference Models." Sultan Qaboos University Journal for Science, vol. 13, 2008, pp. 55. https://doi.org/10.24200/squjs.vol13iss0pp55-62.
شيكاغو (المؤلف–التاريخ)
Malcom, W. P., Lakhdar Aggoun, and Mohamed Al-Lawati. 2008. "On Markov Modulated Mean-Reverting Price-Difference Models." Sultan Qaboos University Journal for Science 13: 55. https://doi.org/10.24200/squjs.vol13iss0pp55-62.
هارفارد
Malcom, W. P., Aggoun, L. and Al-Lawati, M. (2008) 'On Markov Modulated Mean-Reverting Price-Difference Models', Sultan Qaboos University Journal for Science, 13, pp. 55. doi:10.24200/squjs.vol13iss0pp55-62.
فانكوفر
Malcom WP, Aggoun L, Al-Lawati M. On Markov Modulated Mean-Reverting Price-Difference Models. Sultan Qaboos University Journal for Science. 2008;13:55. doi:10.24200/squjs.vol13iss0pp55-62
IEEE
W. P. Malcom, L. Aggoun, and M. Al-Lawati, "On Markov Modulated Mean-Reverting Price-Difference Models," Sultan Qaboos University Journal for Science, vol. 13, pp. 55, 2008, doi: 10.24200/squjs.vol13iss0pp55-62.