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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/10003090579

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

Esscher transforms and consumption-based models

Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 337-347

Persistent link: https://www.econbiz.de/10008332292

Double dividend, dynamic Laffer effects and public abatement

Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Economic modelling 27 (2010) 3, pp. 656-666

Persistent link: https://www.econbiz.de/10008389788

Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures

Elliott, Robert J.; Siu, Tak Kuen - 2010

Persistent link: https://www.econbiz.de/10008393895

Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes

Elliott, Robert J.; Siu, Tak Kuen - In: Applied mathematical finance 20 (2013) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10010072038

Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension

Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Managerial finance 37 (2011) 11, pp. 1025-1048

Persistent link: https://www.econbiz.de/10009330249

On pricing and hedging options in regime-switching models with feedback effect

Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru - In: Journal of economic dynamics & control 35 (2011) 5, pp. 694-714

Persistent link: https://www.econbiz.de/10008877103

Esscher transforms and consumption-based models

Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 337-348

Persistent link: https://www.econbiz.de/10008890270

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