Package | Description |
---|---|
tech.nmfin.trend.dai2011 |
Class and Description |
---|
Dai2011HMM
Creates a two-state Geometric Brownian Motion with a constant volatility.
|
Dai2011HMM.ModelParam |
Dai2011Solver
Solves the stochastic control problem in the referenced paper to get the two
thresholds.
|
Dai2011Solver.Boundaries |
Dai2011Solver.Builder |
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