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Pricing risky debts under a Markov-modudated Merton model with completely random measures
Lau, John W.; Siu, Tak Kuen - In: Computational economics 31 (2008) 3, pp. 255-288
Persistent link: https://www.econbiz.de/10003691910
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A robust nNumerical scheme for pricing American options under regime switching based on penalty method
Zhang, K.; Teo, Kok Lay; Swartz, M. - In: Computational economics 43 (2014) 4, pp. 463-483
Persistent link: https://www.econbiz.de/10010396243
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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
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Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha; He, Xin-Jiang - In: Computational economics 59 (2022) 3, pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
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A Markov decision process model for optimal trade of options using statistical data
Nasir, Ali; Khursheed, Ambreen; Ali, Kazim; Mustafa, Faisal - In: Computational economics 58 (2021) 2, pp. 327-346
Persistent link: https://www.econbiz.de/10012615007
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Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
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Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Computational economics 57 (2021) 4, pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
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An integer programming model for pricing American contingent claims under transaction costs
Pınar, M. Ç.; Camcı, A. - In: Computational economics 39 (2012) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10009508053
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Utility-based pricing, timing and hedging of an American call option under an incomplete market with partial information
Song, Dandan; Yang, Zhaojun - In: Computational economics 44 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010396234
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Two-State volatility transition pricing and hedging of TXO options
Su, Ender; Lin, Feng-jeng - In: Computational economics 39 (2012) 3, pp. 259-287
Persistent link: https://www.econbiz.de/10009513153