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A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions

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Persistent link: https://www.econbiz.de/10009298478

On supply chain coordination for false failure returns : a quantity discount contract approach

Huang, Ximin; Choi, Sin-man; Ching, Wai Ki; Siu, Tak Kuen; … - In: International journal of production economics 133 (2011) 2, pp. 634-644

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Stochastic processes, finance and control : a Festschrift in honor of Robert J. Elliott

Cohen, Samuel N. (ed.); Madan, Dilip B. (ed.); … - 2012

This title consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering--

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Optimal risk exposure and dividend payout policies under model uncertainty

Feng, Yang; Zhu, Jinxia; Siu, Tak Kuen - In: Insurance / Mathematics & economics 100 (2021), pp. 1-29

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Optimal pairs trading with dynamic mean-variance objective

Zhu, Dong-Mei; Gu, Jia-Wen; Yu, Feng-Hui; Siu, Tak Kuen; … - In: Mathematical methods of operations research : ZOR 94 (2021) 1, pp. 145-168

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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

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Household consumption-investment-insurance decisions with uncertain income and market ambiguity

Wang, Ning; Zhuo, Jin; Siu, Tak Kuen; Qiu, Ming - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 832-865

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Option pricing and filtering with hidden Markov-modulated pure-jump processes

Elliott, Robert J.; Siu, Tak Kuen - In: Applied mathematical finance 20 (2013) 1/2, pp. 1-25

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Pricing and managing risks of European-style options in a Markovian regime-switching binomial model

Fard, Farzad Alavi; Siu, Tak Kuen - In: Annals of finance 9 (2013) 3, pp. 421-438

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Bitcoin option pricing with a SETAR-GARCH model

Siu, Tak Kuen; Elliott, Robert J. - In: The European journal of finance 27 (2021) 6, pp. 564-595

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