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Estimating Parameters in a Pricing Model with State-Dependent Shocks

  • Leonard MacLean
  • Yonggan Zhao
  • Giorgio Consigli
  • William Ziemba
Part of the Springer Optimization and Its Applications book series (SOIA, volume 18)

Keywords

Stock Price Stock Return Price Model Shock Intensity Bond Price 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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Copyright information

© Springer Science+Business Media, LLC 2008

Authors and Affiliations

  1. 1.School of Business AdministrationDalhousie UniversityHalifaxCanada
  2. 2.RBC Centre for Risk Management, Faculty of ManagementDalhousie UniversityHalifaxCanada
  3. 3.University of BergamoVia SalvecchioItaly
  4. 4.Sauder School of BusinessUniversity of British ColumbiaVancouverCanada

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