The identification of a bivariate Markov chain market model

Yıldırak, Şahap Kasırga
This work is an extension of the classical Cox-Ross-Rubinstein discrete time market model in which only one risky asset is considered. We introduce another risky asset into the model. Moreover, the random structure of the asset price sequence is generated by bivariate finite state Markov chain. Then, the interest rate varies over time as it is the function of generating sequences. We discuss how the model can be adapted to the real data. Finally, we illustrate sample implementations to give a better idea about the use of the model.


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Citation Formats
Ş. K. Yıldırak, “The identification of a bivariate Markov chain market model,” Ph.D. - Doctoral Program, Middle East Technical University, 2004.