Estimating Parameters in a Pricing Model with State-Dependent Shocks

Leonard MacLean (), Yonggan Zhao (), Giorgio Consigli and William Ziemba ()
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Leonard MacLean: Dalhousie University
Yonggan Zhao: Dalhousie University
Giorgio Consigli: University of Bergamo
William Ziemba: University of British Columbia

A chapter in Handbook of Financial Engineering, 2008, pp 231-244 from Springer

Keywords: Stock Price; Stock Return; Price Model; Shock Intensity; Bond Price (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/978-0-387-76682-9_8

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