Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups.
Kun Soo ParkWard WhittPublished in: Ann. Oper. Res. (2013)
Keyphrases
- markov chain
- monte carlo simulation
- transition probabilities
- steady state
- stochastic process
- finite state
- markov process
- state space
- transition matrix
- markov processes
- random walk
- markov model
- markov chain monte carlo
- monte carlo
- stationary distribution
- monte carlo method
- complex systems
- genetic algorithm
- statistical model
- experimental data
- markov models
- probabilistic model
- neural network
- optimal policy