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Keywords: Time-varying transition probabilities
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2021) 29 (2): 102–115.
Published: 04 June 2021
... this one by integrating timing flexibility and changes in cash flows with time-varying transition probabilities for regime switching. This study emphasizes that optimal thresholds are either overvalued or undervalued in the absence of time-varying transition probabilities. Accordingly, the stochastic...
