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A continuous-time Markov chain approach for modeling of poverty dynamics : application to Mozambique

Rabta, Boualem; Boom, Bart van den; Molini, Vasco - In: African development review 28 (2016) 4, pp. 482-495

Persistent link: https://www.econbiz.de/10011723427

Option pricing with a levy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations

Assonken, Patrick; Ladde, Gangaram S. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-72

Persistent link: https://www.econbiz.de/10011419362

Default probability estimation via pair copula constructions

Dalla Valle, Luciana; De Giuli, Maria Elena; Tarantola, … - In: European journal of operational research : EJOR 249 (2016) 1, pp. 298-311

Persistent link: https://www.econbiz.de/10011435851

Pricing external barrier options in a regime-switching model

Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143

Persistent link: https://www.econbiz.de/10011526900

Additive subordination and its applications in finance

Li, Jing; Li, Lingfei; Mendoza-Arriaga, Rafael - In: Finance and stochastics 20 (2016) 3, pp. 589-634

Persistent link: https://www.econbiz.de/10011531020

A common jump factor stochastic volatility model

Laurini, Márcio Poletti; Mauad, Roberto Baltieri - In: Finance research letters 12 (2015), pp. 2-10

Persistent link: https://www.econbiz.de/10011551744

The intrinsic bounds on the risk premium of Markovian pricing kernels

Han, Jihun; Park, Hyungbin - In: Finance research letters 13 (2015), pp. 36-44

Persistent link: https://www.econbiz.de/10011552334

A recombining tree method for option pricing with state-dependent switching rates

Jiang, J. X.; Liu, Rui Hua; Nguyen, D. - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10011455022

Herding and stochastic volatility

Farkas, Walter; Necula, Ciprian; Waelchli, Boris - 2015 - This version: 30 September 2015

In this paper we develop a one-factor non-affine stochastic volatility option pricing model where the dynamics of the underlying is endogenously determined from micro-foundations. The interaction and herding of the agents trading the underlying asset induce an amplification of the volatility of...

Persistent link: https://www.econbiz.de/10011507732

An analytic formula for pricing American-style convertible bonds in a regime switching model

Chan, Leunglung; Zhu, Song-Ping - In: IMA journal of management mathematics 26 (2015) 4, pp. 402-428

Persistent link: https://www.econbiz.de/10011515674

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