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~person:"Elliott, Robert J."
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Analytical pricing of American...
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Optionspreistheorie
49
Option pricing theory
48
Stochastic process
20
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Markov chain
19
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14
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Elliott, Robert J.
Madan, Dilip B.
94
Fabozzi, Frank J.
75
Chiarella, Carl
74
Cui, Zhenyu
73
Härdle, Wolfgang
72
Carr, Peter
69
Joshi, Mark S.
67
Takahashi, Akihiko
60
Schoutens, Wim
59
Stentoft, Lars
59
Hull, John
53
Wystup, Uwe
48
Jacobs, Kris
47
Benth, Fred Espen
43
Jarrow, Robert A.
43
Kwok, Yue-Kuen
40
Perrakis, Stylianos
40
Belomestny, Denis
38
Chesney, Marc
38
Zhang, Jin E.
38
Oosterlee, Cornelis W.
36
Ryu, Doojin
36
Schlögl, Erik
35
Fusai, Gianluca
34
Korn, Ralf
34
Wang, Xingchun
34
Barone-Adesi, Giovanni
33
Kim, Young Shin
33
Schoenmakers, John
33
Siu, Tak Kuen
33
Ewald, Christian-Oliver
32
Schwartz, Eduardo S.
32
Vorst, Ton
32
Wu, Liuren
32
Christoffersen, Peter F.
31
Platen, Eckhard
31
Ziogas, Andrew
31
Račev, Svetlozar T.
30
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30
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Institut für Schweizerisches Bankwesen <Zürich>
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International journal of theoretical and applied finance
6
Annals of finance
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Applied mathematical finance
3
The journal of futures markets
3
Journal of economic dynamics & control
2
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2
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1
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1
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Geld, Finanzwirtschaft, Banken und Versicherungen : 1996 ; Beiträge zum 7. Symposium Geld, Finanzwirtschaft, Banken und Versicherungen an der Universität Karlsruhe vom 11.- 13. Dezember 1996
1
Institut für Schweizerisches Bankwesen Zürich - Working Paper Series
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Insurance / Mathematics & economics
1
International journal of financial engineering
1
International journal of theoretical and applied finance : IJTAF
1
Journal of banking & finance
1
Les cahiers de recherche / HEC Paris
1
Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
1
Mathematical modeling and numerical methods in finance : special volume
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New methods in fixed income modeling : fixed income modeling
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Rodney L. White Center for Financial Research
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The journal of derivatives : JOD
1
The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
49
USB Cologne (business full texts)
1
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Approximate pricing of American exchange options with jumps
Lian, Guanghua
;
Elliott, Robert J.
;
Kalev, Petko S.
; …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
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
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
4
A simple efficient approximation to price basket stock options with volatility smile
Wu, Ping
;
Elliott, Robert J.
- In:
Annals of finance
13
(
2017
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011944955
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
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
7
A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Annals of finance
4
(
2008
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
Saved in:
8
Analytical solutions to the pricing of American bond and yield options
Chesney, Marc
;
Elliott, Robert J.
;
Gibson, Rajna
-
1991
-
Rev. version
Persistent link: https://www.econbiz.de/10000817550
Saved in:
9
Mathematics of financial markets
Elliott, Robert J.
;
Kopp, Peter E.
-
1999
Persistent link: https://www.econbiz.de/10000663279
Saved in:
10
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:
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