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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...
| Autores principales: | , , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2018
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| Materias: | |
| 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 |