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• W2113063886 abstract "Abstract To improve the empirical performance of the Black-Scholes model, many alternative models have been proposed to address leptokurtic feature, volatility smile, and volatility clustering effects of the asset return distributions. However, analytical tractability remains a problem for most alternative models. In this article, we study a class of hidden Markov models including Markov switching models and stochastic volatility models, that can incorporate leptokurtic feature, volatility clustering effects, as well as provide analytical solutions to option pricing. We show that these models can generate long memory phenomena when the transition probabilities depend on the time scale. We also provide an explicit analytic formula for the arbitrage-free price of the European options under these models. The issues of statistical estimation and errors in option pricing are also discussed in the Markov switching models." @default.
• W2113063886 created "2016-06-24" @default.
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• W2113063886 creator A5069048542 @default.
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• W2113063886 date "2003-01-12" @default.
• W2113063886 modified "2023-10-18" @default.
• W2113063886 title "Empirical Performance and Asset Pricing in Hidden Markov Models" @default.
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• W2113063886 doi "https://doi.org/10.1081/sta-120025389" @default.
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