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~person:"Siu, Tak Kuen"
~subject:"Optionspreistheorie"
~subject:"Risiko"
~type:"article"
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Optionspreistheorie
Risiko
Hedging
7
Option pricing theory
5
Option trading
4
Optionsgeschäft
4
Stochastic process
4
Stochastischer Prozess
4
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3
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2
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Resource economics
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Theorie
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Theory
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filtering
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stochastic flows
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Siu, Tak Kuen
Melʹnikov, Aleksandr V.
11
Kit, Pong Wong
10
Broll, Udo
8
Carr, Peter
8
Lien, Da-hsiang Donald
7
Tankov, Peter
7
Alghalith, Moawia
6
Dhaene, Jan
6
Elliott, Robert J.
6
Fabozzi, Frank J.
6
Godin, Frédéric
6
Kallsen, Jan
6
Madan, Dilip B.
6
Alexander, Carol
5
Arai, Takuji
5
Bayraktar, Erhan
5
Benth, Fred Espen
5
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5
Kabanov, Jurij M.
5
Li, Johnny Siu-Hang
5
Muhle-Karbe, Johannes
5
Schoutens, Wim
5
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5
Soner, Halil Mete
5
Yamada, Yuji
5
Zanette, Antonino
5
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5
Černý, Aleš
5
Badescu, Alexandru
4
Barbi, Massimiliano
4
Chung, San-lin
4
Demirer, Rıza
4
Dias, José Carlos
4
Dolinsky, Yan
4
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Glazyrina, Anna
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International journal of theoretical and applied finance
2
Annals of finance
1
Energy economics
1
Journal of economic dynamics & control
1
The journal of futures markets
1
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ECONIS (ZBW)
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1
Hedging
options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
Hedging
options in a doubly Markov-modulated financial market via stochastic flows
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012183224
Saved in:
3
Minimal variance
hedging
of natural gas derivatives in exponential Lévy models : theory and empirical performance
Ewald, Christian-Olivier
;
Nawar, Roy
;
Siu, Tak Kuen
- In:
Energy economics
36
(
2013
),
pp. 97-107
Persistent link: https://www.econbiz.de/10009724764
Saved in:
4
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
5
On pricing and
hedging
options in regime-switching models with feedback effect
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alexandru
- In:
Journal of economic dynamics & control
35
(
2011
)
5
,
pp. 694-713
Persistent link: https://www.econbiz.de/10009240566
Saved in:
6
A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Annals of finance
4
(
2008
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
Saved in:
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