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Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Neufeld, Ariel - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-12
Persistent link: https://www.econbiz.de/10011971005
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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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Volatility derivatives in market models with jumps
Lo, Harry; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1159-1193
Persistent link: https://www.econbiz.de/10009407653
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A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X.; Liu, Rui Hua; Nguyen, D. - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10011455022
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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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Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
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On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
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Portfolio insurance under rough volatility and Volterra processes
Dupret, Jean-Loup; Hainaut, Donatien - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-37
Persistent link: https://www.econbiz.de/10012807860
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Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
Kao, Lie Jane - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10009624510
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Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363969