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