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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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Heat kernel models for asset pricing
Macrina, Andrea - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-34
Persistent link: https://www.econbiz.de/10010498834
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Explosive behavior in a log-normal interest rate model
Pirjol, Dan - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10009780635
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Commodity price dynamics and derivative valuation : a review
Back, Janis; Prokopczuk, Marcel - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-30
Persistent link: https://www.econbiz.de/10010197182
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Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model
Walker, Michael B. - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 633-662
Persistent link: https://www.econbiz.de/10003899505
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New numerical scheme for pricing American option with regime-switching
Khaliq, Abdul Q. M.; Liu, Rui Hua - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 319-340
Persistent link: https://www.econbiz.de/10003867406
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Barrier option pricing by branching processes
Mitov, Georgi K.; Račev, Svetlozar T.; Kim, Young Shin; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1055-1073
Persistent link: https://www.econbiz.de/10003928804
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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 "coherent state transform" approach to derivative pricing
Perissinotto, Ludovico; Tebaldi, Claudio - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 125-151
Persistent link: https://www.econbiz.de/10003855755