Estimating parameters in a pricing model with state-dependent shocks

Leonard MacLean; Yonggan Zhao; Giorgio Consigli; William Ziemba

doi:10.1007/978-0-387-76682-9_8

Estimating parameters in a pricing model with state-dependent shocks

Leonard MacLean, Yonggan Zhao, Giorgio Consigli, William Ziemba

Materials Science

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Original language	English
Title of host publication	Springer Optimization and Its Applications
Publisher	Springer International Publishing
Pages	231-244
Number of pages	14
DOIs	https://doi.org/10.1007/978-0-387-76682-9_8
Publication status	Published - 2008

Publication series

Name	Springer Optimization and Its Applications
Volume	18
ISSN (Print)	1931-6828
ISSN (Electronic)	1931-6836

ASJC Scopus Subject Areas

Control and Optimization

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10.1007/978-0-387-76682-9_8

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title = "Estimating parameters in a pricing model with state-dependent shocks",

author = "Leonard MacLean and Yonggan Zhao and Giorgio Consigli and William Ziemba",

year = "2008",

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AU - Zhao, Yonggan

AU - Consigli, Giorgio

AU - Ziemba, William

PY - 2008

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T3 - Springer Optimization and Its Applications

SP - 231

EP - 244

BT - Springer Optimization and Its Applications

PB - Springer International Publishing

ER -

Estimating parameters in a pricing model with state-dependent shocks

Publication series

ASJC Scopus Subject Areas

Access to Document

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