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accessRights:"restricted"
~person:"Chang, Kuang-Liang"
~person:"Cui, Zhenyu"
~subject:"Börsenkurs"
~subject:"Optionspreistheorie"
~subject:"Stochastic process"
~subject:"Volatility"
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Search: subject_exact:"Markov chain"
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Börsenkurs
Optionspreistheorie
Stochastic process
Volatility
Markov chain
16
Markov-Kette
16
Option pricing theory
9
Volatilität
8
Stochastischer Prozess
6
ARCH model
5
ARCH-Modell
5
Multivariate Verteilung
5
Multivariate distribution
5
Capital income
4
Continuous-time Markov chain
4
Derivat
4
Derivative
4
Estimation
4
Finance
4
Kapitaleinkommen
4
Schätzung
4
Statistical distribution
4
Statistische Verteilung
4
Option pricing
3
Option trading
3
Optionsgeschäft
3
Stochastic volatility
3
Theorie
3
Theory
3
Time series analysis
3
Zeitreihenanalyse
3
Aktienmarkt
2
Exchange rate
2
Immobilienfonds
2
Jump diffusion
2
Markov process
2
Markov switching
2
Markov-switching copula
2
Mixture copula
2
Oil price
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English
14
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Chang, Kuang-Liang
Cui, Zhenyu
Elliott, Robert J.
8
Gupta, Rangan
8
Kirkby, J. Lars
7
Ma, Feng
7
Nguyen, Duy
7
Siu, Tak Kuen
6
Hammoudeh, Shawkat
5
Lee, Hsiang-Tai
5
Otranto, Edoardo
5
Serletis, Apostolos
5
Xu, Libo
5
Cavicchioli, Maddalena
4
Chen, Son-nan
4
Ching, Wai Ki
4
D'Amico, Guglielmo
4
Dimitrakopoulos, Stefanos
4
Hainaut, Donatien
4
He, Xin-Jiang
4
Ji, Qiang
4
Li, Leon
4
Li, Lingfei
4
Lin, Shih-kuei
4
Lu, Xinjie
4
Luo, Jiawen
4
Shi, Yanlin
4
Wang, Jiqian
4
Wei, Qingda
4
Wilfling, Bernd
4
Zhu, Song-Ping
4
Asai, Manabu
3
Balcilar, Mehmet
3
Bauwens, Luc
3
BenSaïda, Ahmed
3
Casarin, Roberto
3
Chan, Leunglung
3
Chen, Xian
3
Chevallier, Julien
3
Chkili, Walid
3
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European journal of operational research : EJOR
4
International review of economics & finance : IREF
2
Quantitative finance
2
Applied economics letters
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Insurance / Mathematics & economics
1
Journal of international money and finance
1
Mathematical methods of operations research : ZOR
1
The journal of derivatives : JOD
1
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ECONIS (ZBW)
14
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1
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
2
The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang
- In:
Journal of international money and finance
133
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
Saved in:
3
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
4
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Saved in:
5
Pricing discretely monitored barrier options under Markov processes through markov chain approximation
Cui, Zhenyu
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 8-33
Persistent link: https://www.econbiz.de/10012486028
Saved in:
6
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
7
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang
;
Lee, Chingnun
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
Saved in:
8
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Saved in:
9
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
Cui, Zhenyu
;
Lee, Chihoon
;
Liu, Yanchu
- In:
European journal of operational research : EJOR
266
(
2018
)
3
,
pp. 1134-1139
Persistent link: https://www.econbiz.de/10011812242
Saved in:
10
Asymmetric downside and upside co-movements between stock and REIT markets
Chang, Kuang-Liang
- In:
Applied economics letters
25
(
2018
)
2
,
pp. 78-82
Persistent link: https://www.econbiz.de/10011853694
Saved in:
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