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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

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

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

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

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

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

Approximate Pricing of American Exchange Options with Jumps

Lian, Guanghua; Elliott, Robert; Kalev, Petko S.; Yang, … - 2022

This paper presents a numerical method to price American exchange options based on jump-diffusion processes. We first derive a closed-form expression for the value of European exchangeoptions, then decompose the value function of an American exchange option into a Europeancounterpart, and an...

Persistent link: https://www.econbiz.de/10013295744

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

New measures for performance evaluation

Cherny, Alexander; Madan, Dilip B. - In: The review of financial studies 22 (2009) 7, pp. 2571-2606

Persistent link: https://www.econbiz.de/10003866781

Short positions, rally fears and option markets

Eberlein, Ernst; Madan, Dilip B. - In: Applied mathematical finance 17 (2010) 1/2, pp. 83-98

Persistent link: https://www.econbiz.de/10003975322