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A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
Menoukeu-Pamen, Olivier; Momeya, Romuald Hervé - In: Mathematical methods of operations research 85 (2017) 3, pp. 349-388
Persistent link: https://www.econbiz.de/10011714509
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Efficient piecewise trees for the generalized Skew Vasicek model with discontinuous drift
Zhuo, Xiaoyang; Menoukeu-Pamen, Olivier - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10011687043
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Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
Menoukeu-Pamen, Olivier; Xu, Guangli; Zhuo, Xiaoyang - In: Quantitative finance 23 (2023) 5, pp. 843-862
Persistent link: https://www.econbiz.de/10014304369
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The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model
Momeya, Romuald; Salah, Zied - In: Asia-Pacific Financial Markets 19 (2012) 1, pp. 63-98
Persistent link: https://www.econbiz.de/10010866374