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~person:"Cui, Zhenyu"
~person:"Guidolin, Massimo"
~person:"Nguyen, Duy"
~type_genre:"Article in journal"
~type_genre:"Government document"
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Search: subject_exact:"Markov chain"
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Markov chain
20
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20
Option pricing theory
12
Optionspreistheorie
12
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10
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10
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7
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Cui, Zhenyu
Guidolin, Massimo
Nguyen, Duy
Elliott, Robert J.
36
Siu, Tak Kuen
32
Tsionas, Efthymios G.
25
Gupta, Rangan
19
Sola, Martin
16
D'Amico, Guglielmo
15
Guo, Xianping
15
Kim, Chang-jin
15
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13
Reffett, Kevin L.
13
Cavazos-Cadena, Rolando
12
Feinberg, Eugene A.
12
Jaśkiewicz, Anna
12
Balbus, Lukasz
11
Chan, Leunglung
11
Nowak, Andrzej S.
11
Piger, Jeremy Max
11
Psaradakis, Zacharias G.
11
Serletis, Apostolos
11
Balcilar, Mehmet
10
Casarin, Roberto
10
Cavicchioli, Maddalena
10
Li, Yong
10
Robert, Christian P.
10
Shi, Yanlin
10
Skoog, Gary R.
10
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9
Chauvet, Marcelle
9
Chen, Cathy W. S.
9
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9
Chib, Siddhartha
9
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9
Holmes, Mark J.
9
Jain, Madhu
9
Krolzig, Hans-Martin
9
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9
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European journal of operational research : EJOR
5
Quantitative finance
2
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1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
20
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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
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:
3
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:
4
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:
5
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:
6
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
7
Modeling systemic risk with Markov Switching Graphical SUR models
Bianchi, Daniele
;
Billio, Monica
;
Casarin, Roberto
; …
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 58-74
Persistent link: https://www.econbiz.de/10012303377
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
A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
Nguyen, Duy
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012028829
Saved in:
10
Estimating stochastic discount factor models with hidden regimes : applications to commodity pricing
Giampietro, Marta
;
Guidolin, Massimo
;
Pedio, Manuela
- In:
European journal of operational research : EJOR
265
(
2018
)
2
,
pp. 685-702
Persistent link: https://www.econbiz.de/10011811481
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