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Markov-Kette
Esscher transform
83
Option pricing theory
53
Optionspreistheorie
53
Stochastic process
35
Stochastischer Prozess
35
Volatility
22
Volatilität
22
Markov chain
19
Option pricing
14
Option trading
13
Optionsgeschäft
13
Derivat
10
Derivative
10
Hedging
9
Lévy process
9
Theorie
9
Theory
9
ARCH model
8
ARCH-Modell
8
CAPM
7
Currency derivative
6
Esscher Transform
6
Estimation theory
6
Schätztheorie
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Währungsderivat
6
Black-Scholes model
5
Comonotonicity
5
Exchange rate
5
Reflection principle
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Risk measures
5
Statistical distribution
5
Statistische Verteilung
5
Wechselkurs
5
option pricing
5
Additivity
4
Barrier option
4
Black-Scholes-Modell
4
Brownian motion
4
Conditional Esscher transform
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16
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Siu, Tak Kuen
6
Elliott, Robert J.
4
Chen, Son-nan
2
Li, Chang-Yi
2
Shen, Yang
2
Sviščuk, Anatolij
2
Tertychnyi, Maksym
2
Asiimwe, Pious
1
Chan, Leunglung
1
Chen, Jun-Home
1
Chiang, Mi-Hsiu
1
Fabozzi, Frank J.
1
Fan, Kun
1
Fard, Farzad Alavi
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Godin, Frédéric
1
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1
Kim, Young Shin
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Le Courtois, Olivier
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Lian, Yu-Min
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Lin, Shih-kuei
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Lin, Zuodong
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Liu, David
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Mahera, Charles Wilson
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Menoukeu-Pamen, Oliver
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Su, Xiaoshan
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Insurance / Mathematics & economics
5
Asia-Pacific financial markets
2
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Finance research letters
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International journal of financial engineering
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ECONIS (ZBW)
16
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1
Valuation of chooser options with state-dependent risks
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
52
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
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
Structural pricing of CoCos and deposit insurance with regime switching and jumps
Le Courtois, Olivier
;
Su, Xiaoshan
- In:
Asia Pacific financial markets
27
(
2020
)
4
,
pp. 477-520
Persistent link: https://www.econbiz.de/10012390326
Saved in:
4
Option pricing under regime-switching models : novel approaches removing path-dependence
Godin, Frédéric
;
Lai, Van Son
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
87
(
2019
),
pp. 130-142
Persistent link: https://www.econbiz.de/10012058933
Saved in:
5
Markov modulated jump-diffusions for currency options when regime switching risk is priced
Liu, David
- In:
International journal of financial engineering
6
(
2019
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012314539
Saved in:
6
Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Li, Chang-Yi
;
Chen, Son-nan
;
Lin, Shih-kuei
- In:
The European journal of finance
22
(
2016
)
10/12
,
pp. 887-908
Persistent link: https://www.econbiz.de/10011715220
Saved in:
7
Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
Chiang, Mi-Hsiu
;
Li, Chang-Yi
;
Chen, Son-nan
- In:
Review of quantitative finance and accounting
46
(
2016
)
3
,
pp. 459-482
Persistent link: https://www.econbiz.de/10011595469
Saved in:
8
On the price of risk under a regime switching CGMY process
Asiimwe, Pious
;
Mahera, Charles Wilson
;
Menoukeu-Pamen, …
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 305-335
Persistent link: https://www.econbiz.de/10011619970
Saved in:
9
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:
10
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
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