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Pricing commodity index options
Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
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Implied Markov transition matrices under structural price models
Defourny, Boris; Moazeni, Somayeh - In: Quantitative finance 21 (2021) 11, pp. 1935-1954
Persistent link: https://www.econbiz.de/10012696797
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Pricing and hedging performance on pegged FX markets based on a regime switching model
Zhang, Yunbo; Drapeau, Samuel - In: Quantitative finance 21 (2021) 2, pp. 305-322
Persistent link: https://www.econbiz.de/10012424592
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Implied stopping rules for American basket options from Markovian projection
Bayer, Christian; Häppölä, Juho; Tempone, Raúl - In: Quantitative finance 19 (2019) 3, pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
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A set-valued Markov chain approach to credit default
Chen, Dianfa; Deng, Jun; Feng, Jianfen; Zou, Bin - In: Quantitative finance 20 (2020) 4, pp. 669-689
Persistent link: https://www.econbiz.de/10012194914
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Volatility is (mostly) path-dependent
Guyon, Julien; Lekeufack, Jordan - In: Quantitative finance 23 (2023) 9, pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
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A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin; Cui, Zhenyu; Wang, Yongjin - In: Quantitative finance 21 (2021) 3, pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
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Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
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VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique; Guerra, João - In: Quantitative finance 23 (2023) 5, pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
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Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren; Bladt, Mogens - In: Quantitative finance 22 (2022) 4, pp. 675-689
Persistent link: https://www.econbiz.de/10013367850