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International journal of theoretical and applied finance
Insurance / Mathematics & economics
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12
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
5
Hedging options in a doubly Markov-modulated financial market via stochastic flows
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012183224
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
Saved in:
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