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European option pricing with market frictions, regime switches and model uncertainty

Siu, Tak Kuen - In: Insurance / Mathematics & economics 113 (2023), pp. 233-250

Persistent link: https://www.econbiz.de/10014466214

Asset pricing using trading volumes in a hidden regime-switching environment

Elliott, Robert J.; Siu, Tak Kuen - In: Asia-Pacific financial markets 22 (2015) 2, pp. 133-149

Persistent link: https://www.econbiz.de/10011377522

Pricing annuity guarantees under a double regime-switching model

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Insurance / Mathematics & economics 62 (2015), pp. 62-78

Persistent link: https://www.econbiz.de/10011312087

Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model

Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 757-768

Persistent link: https://www.econbiz.de/10010227881

Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach

Fard, Farzad Alavi; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 712-721

Persistent link: https://www.econbiz.de/10010227894

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

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

Geometric stopping of a random walk and its applications to valuing equity-linked death benefits

Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang - In: Insurance / Mathematics & economics 64 (2015), pp. 313-325

Persistent link: https://www.econbiz.de/10011398088

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 … 14 (2011) 05, pp. 669-708

Under discrete-time GARCH models markets are incomplete so there is more than one price kernel for valuing contingent claims. This motivates the quest for selecting an appropriate price kernel. Different methods have been proposed for the choice of a price kernel. Some of them can be justified...

Persistent link: https://www.econbiz.de/10009245356

Option pricing and Esscher transform under regime switching

Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: Annals of Finance 1 (2005) 4, pp. 423-432

Persistent link: https://www.econbiz.de/10005808845