Markov - switching stochastic trends and economic fluctuations

Article Abstract:

A study on the short-run responses to permanent shocks and the effects of recessions in the long-run growth is presented. For this purpose, a Markov-switching common stochastic trends model is postulated. The findings of this are used to explore the short and long run asymmetric relationships among output, consumption and investment.

Science & research, Research, Usage, Learning models (Stochastic processes), Stochastic models

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Option pricing with transaction costs using a Markov chain approximation

Article Abstract:

A procedure that optimally values the options in the presence of proportional transaction costs is developed. The effective algorithm that solves the problem of singular stochastic optimal control is discussed.

Forecasts, trends, outlooks, Models, Analysis, Forecasts and trends, Currency options, Market trend/market analysis

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