A Discrete Time Valuation of Callable Financial Securities with Regime Switches.
Kimitoshi SatoKatsushige SawakiPublished in: ICORES (2013)
Keyphrases
- stock market
- financial markets
- portfolio management
- fraud detection
- real option
- trading strategies
- markov chain
- portfolio optimization
- markov processes
- data sets
- financial data
- finite state
- financial risk
- credit risk
- stock price
- risk management
- short term
- test bed
- life cycle
- markov decision processes
- decision making
- search engine
- financial information
- sharpe ratio
- genetic algorithm