Similar Search Results

Narrow search

Analytically pricing exchange options with stochastic liquidity and regime switching

He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 5, pp. 662-676

Persistent link: https://www.econbiz.de/10014293179

Pricing external barrier options in a regime-switching model

Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143

Persistent link: https://www.econbiz.de/10011526900

A general framework for time-changed Markov processes and applications

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800

Persistent link: https://www.econbiz.de/10011987591

Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes

Cui, Zhenyu; Lee, Chihoon; Liu, Yanchu - In: European journal of operational research : EJOR 266 (2018) 3, pp. 1134-1139

Persistent link: https://www.econbiz.de/10011812242

A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS

GRAZIANO, GIUSEPPE DI; ROGERS, L. C. G. - In: International Journal of Theoretical and Applied … 12 (2009) 01, pp. 45-62

The modeling of credit events is in effect the modeling of the times to default of various names. The distribution of individual times to default can be calibrated from CDS quotes, but for more complicated instruments, such as CDOs, the joint law is needed. Industry practice is to model this...

Persistent link: https://www.econbiz.de/10004970130