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A regime switching model for temperature modeling and applications to weather derivatives pricing
Türkvatan, Aysun; Hayfavi, Azize; Omay, Tolga - In: Mathematics and financial economics 14 (2020) 1, pp. 1-42
Persistent link: https://www.econbiz.de/10012239952
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Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
Li, Lingfei; Mendoza-Arriaga, Rafael - In: Operations research letters 41 (2013) 5, pp. 521-525
Persistent link: https://www.econbiz.de/10010191968
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Additive logistic processes in option pricing
Carr, Peter; Torricelli, Lorenzo - In: Finance and stochastics 25 (2021) 4, pp. 689-724
Persistent link: https://www.econbiz.de/10012665200
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Valuing commodity options and futures options with changing economic conditions
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Economic modelling 51 (2015), pp. 524-533
Persistent link: https://www.econbiz.de/10011476145
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Polynomial upper and lower bounds for financial derivative price functions under regime-switching
Bhim, Louis; Kawai, Reiichiro - In: The journal of computational finance 22 (2018) 2, pp. 35-71
Persistent link: https://www.econbiz.de/10011976660
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Option pricing and hedging for discrete time regime-switching models
Rémillard, Bruno; Hocquard, Alexandre; Lamarre, Hugo; … - In: Modern economy 8 (2017) 8, pp. 1005-1032
Persistent link: https://www.econbiz.de/10011748340
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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 262 (2017) 1, pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
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Local risk-minimization under Markov-modulated exponential Lévy model
Menoukeu-Pamen, Olivier; Momeya, Romuald - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-24
Persistent link: https://www.econbiz.de/10011403879
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Macro risk factors of credit default swap indices in a regime-switching framework
Kam Fong Chan; Marsden, Alastair - In: Journal of international financial markets, … 29 (2014), pp. 285-308
Persistent link: https://www.econbiz.de/10010412144
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On the stationarity of futures hedge ratios
Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - In: Operational research : an international journal 22 (2022) 3, pp. 2281-2303
Persistent link: https://www.econbiz.de/10013443633