//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Siu, Tak Kuen"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Esscher Transform"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Esscher transform
10
Markov chain
7
Option pricing theory
7
Optionspreistheorie
7
Markov-Kette
6
Option pricing
4
Stochastic process
4
Stochastischer Prozess
4
Martingal
3
Martingale
3
Regime-switching
3
ARCH model
2
ARCH-Modell
2
CAPM
2
Collocation method
2
Equivalent martingale measure
2
General equilibrium
2
Generalized Esscher transform
2
HJB equation
2
Lévy process
2
Markov-switching compensator
2
Participating products
2
Reduction of dimensionality
2
Regime switching
2
Regime switching risk
2
Stochastic differential game
2
Theorie
2
Theory
2
Volatility
2
Volatilität
2
Allgemeines Gleichgewicht
1
Altersvorsorge
1
Analysis
1
Asset pricing
1
Autocorrelation
1
Autokorrelation
1
Bitcoin options
1
Bonds
1
Börsenkurs
1
Continuous-time models
1
more ...
less ...
Online availability
All
Undetermined
9
Type of publication
All
Article
15
Type of publication (narrower categories)
All
Article in journal
10
Aufsatz in Zeitschrift
10
Language
All
English
10
Undetermined
5
Author
All
Siu, Tak Kuen
Lee, Hangsuck
11
Elliott, Robert J.
10
Lian, Yu-Min
7
Chen, Jun-Home
6
Fard, Farzad Alavi
6
Chan, Leunglung
5
Liao, Szu-Lang
5
Elliott, Robert
4
Goovaerts, Marc J.
4
Ko, Bangwon
4
Lee, Gaeun
4
Lee, Minha
4
Odening, Martin
4
Ritter, Matthias
4
Song, Seongjoo
4
Tang, Qihe
4
Badescu, Alex
3
Chan, Wai-Sum
3
Doko Tchatoka, Firmin
3
Fengler, Matthias
3
Kaas, Rob
3
Kim, Young
3
Laeven, Roger J.A.
3
Li, Chang-Yi
3
Lin, Shih-kuei
3
López Cabrera, Brenda
3
Shen, Yang
3
Siu, Tak
3
Sriananthakumar, Sivagowry
3
Badescu, Alexandru
2
Chen, Son-nan
2
Chiang, Mi-Hsiu
2
ELLIOTT, ROBERT J.
2
Ha, Hongjun
2
Herwartz, Helmut
2
Kulperger, Reg
2
Küchler, Uwe
2
Lee, Jeong
2
Li, Johnny Siu-Hang
2
more ...
less ...
Published in...
All
Insurance / Mathematics & economics
5
Insurance: Mathematics and Economics
2
International journal of theoretical and applied finance
2
Annals of Finance
1
Applied Mathematical Finance
1
Asia-Pacific financial markets
1
Managerial Finance
1
Quantitative finance
1
The European journal of finance
1
more ...
less ...
Source
All
ECONIS (ZBW)
10
RePEc
5
Showing
1
-
10
of
15
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
European option pricing with market frictions, regime switches and model uncertainty
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 233-250
Persistent link: https://www.econbiz.de/10014466214
Saved in:
2
A generalized
Esscher
transform
for option valuation with regime switching risk
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 691-705
Persistent link: https://www.econbiz.de/10013367853
Saved in:
3
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
4
A self-exciting threshold jump-diffusion model for option valuation
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 168-193
Persistent link: https://www.econbiz.de/10011530946
Saved in:
5
Asset pricing using trading volumes in a hidden regime-switching environment
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Asia-Pacific financial markets
22
(
2015
)
2
,
pp. 133-149
Persistent link: https://www.econbiz.de/10011377522
Saved in:
6
Pricing annuity guarantees under a double regime-switching model
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011312087
Saved in:
7
A Dupire equation for a regime-switching model
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
Saved in:
8
Stochastic differential game,
Esscher
transform
and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
Saved in:
9
Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach
Fard, Farzad Alavi
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 712-721
Persistent link: https://www.econbiz.de/10010227894
Saved in:
10
Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach
Fard, Farzad Alavi
;
Siu, Tak Kuen
- In:
Insurance: Mathematics and Economics
53
(
2013
)
3
,
pp. 712-721
with a Markov-switching compensator. The
Esscher
transform
is employed to determine an equivalent martingale measure in the …
Persistent link: https://www.econbiz.de/10010719098
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->