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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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Dynamic optimal capital structure with regime switching
Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 2, pp. 199-220
Persistent link: https://www.econbiz.de/10011376180
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Credit risk and contagion via self-exciting default intensity
Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 3/4, pp. 319-344
Persistent link: https://www.econbiz.de/10011459064
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Pricing of discount bonds with a Markov switching regime
Elliott, Robert J.; Nishide, Katsumasa - In: Annals of finance 10 (2014) 3, pp. 509-522
Persistent link: https://www.econbiz.de/10010399761
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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
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A simple efficient approximation to price basket stock options with volatility smile
Wu, Ping; Elliott, Robert J. - In: Annals of finance 13 (2017) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011944955
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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