Pricing Exotic Options under a High-Order Markovian Regime Switching Model.

Wai-Ki Ching Tak Kuen Siu Limin Li

Published in: Adv. Decis. Sci. (2007)

Keyphrases

high order
pairwise
probabilistic model
low order
markov random field
lower order
bayesian logistic regression
objective function
higher order
predictive power
black scholes model