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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
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Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Fard, Farzad Alavi; Siu, Tak Kuen - In: Annals of finance 9 (2013) 3, pp. 421-438
Persistent link: https://www.econbiz.de/10009776434
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Two price economic equilibria and financial market bid/ask prices
Elliott, Robert J.; Madan, Dilip B.; Siu, Tak Kuen - In: Annals of finance 17 (2021) 1, pp. 27-43
Persistent link: https://www.econbiz.de/10012489935
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Option pricing and Esscher transform under regime switching
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: Annals of finance 1 (2005) 4, pp. 423-432
Persistent link: https://www.econbiz.de/10003090579
Cover Image
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Fard, Farzad Alavi; Siu, Tak Kuen - In: Annals of finance 9 (2013) 3, pp. 421-438
Persistent link: https://www.econbiz.de/10010152351