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Title:

A correction note on: When the “Bull” meets the “Bear”: A First Passage Time Problem for a Hidden Markov Process

Document type:
Zeitschriftenaufsatz
Author(s):
Hieber, P.
Non-TUM Co-author(s):
nein
Cooperation:
-
Abstract:
Guo (2001a) derived the Laplace transform of the first-passage time in a 2-state Markov-switching model and gave one of the pioneering works improving the analytical tractability of Markov-switching models. However, the Laplace transforms in her paper are wrong. This short note provides the correct expression and an alternative proof using the matrix Wiener-Hopf technique.
Intellectual Contribution:
Discipline-based Research
Journal title:
Methodology and Computing in Applied Probability
Journal listet in FT50 ranking:
nein
Year:
2014
Journal volume:
16
Journal issue:
3
Pages contribution:
771-776
Reviewed:
nein
Language:
en
Fulltext / DOI:
doi:https://doi.org/10.1007/s11009-013-9355-6
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Interdisciplinarity:
Nein
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