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Parameter estimation for a regime-switching mean-reverting model with jumps
Wu, Ping; Elliott, Robert J. - In: International journal of theoretical and applied finance 8 (2005) 6, pp. 791-806
Persistent link: https://www.econbiz.de/10003133883
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Investment timing under regime switching
Elliott, Robert J.; Miao, Hong; Yu, Jin - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 443-463
Persistent link: https://www.econbiz.de/10003879069
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Option pricing for GARCH models with Markov switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
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A Hidden Markov approach to the forward premium puzzle
Elliott, Robert J.; Han, Bing - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1009-1020
Persistent link: https://www.econbiz.de/10003395950
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Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.; Siu, Tak Kuen - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
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Option pricing using a regime switching stochastic discount factor
Elliott, Robert J.; Hamada, Ahmed S. - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
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A Dupire equation for a regime-switching model
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
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Financial signal processing : a self calibrating model
Elliott, Robert J.; Hunter, William Curt; Jamieson, … - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 567-584
Persistent link: https://www.econbiz.de/10001600343
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American options with regime switching
Buffington, John; Elliott, Robert J. - In: International journal of theoretical and applied finance 5 (2002) 5, pp. 497-514
Persistent link: https://www.econbiz.de/10001687141
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A complete Yield curve description of a Markov interest rate model
Elliott, Robert J.; Mamon, Rogemar S. - In: International journal of theoretical and applied finance 6 (2003) 4, pp. 317-326
Persistent link: https://www.econbiz.de/10001779812