Hedging for the Regime-Switching Price Model Based on Non-Extensive Statistical Mechanics

To describe the movement of asset prices accurately, we employ the non-extensive statistical mechanics and the semi-Markov process to establish an asset price model. The model can depict the peak and fat tail characteristics of returns and the regime-switching phenomenon of macroeconomic system. Mor...

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Detalles Bibliográficos
Autores principales: Zhao, Pan, Pan, Jian, Zhou, Benda, Wang, Jixia, Song, Yu
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2018
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7512763/
https://www.ncbi.nlm.nih.gov/pubmed/33265338
http://dx.doi.org/10.3390/e20040248

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7512763/
https://www.ncbi.nlm.nih.gov/pubmed/33265338
http://dx.doi.org/10.3390/e20040248

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