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1
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21
Risk measures for derivatives with Markov-modulated pure jump processes
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
Asia-Pacific financial markets
13
(
2006
)
2
,
pp. 129-149
Persistent link: https://www.econbiz.de/10003496776
Saved in:
22
Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Applied mathematical finance
14
(
2007
)
1
,
pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
Saved in:
23
A Hidden Markov approach to the forward premium puzzle
Elliott, Robert J.
;
Han, Bing
- In:
International journal of theoretical and applied finance
9
(
2006
)
7
,
pp. 1009-1020
Persistent link: https://www.econbiz.de/10003395950
Saved in:
24
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, Robert J.
;
Siu, Tak Kuen
-
2010
Persistent link: https://www.econbiz.de/10003964890
Saved in:
25
Markovian regime-switching market completion using additional Markov jump assets
Zhang, Xin
;
Elliott, Robert J.
;
Siu, Tak Kuen
;
Guo, Junyi
- In:
IMA journal of management mathematics
23
(
2012
)
3
,
pp. 283-305
Persistent link: https://www.econbiz.de/10009572468
Saved in:
26
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. 694-713
Persistent link: https://www.econbiz.de/10009240566
Saved in:
27
Disappointment aversion premium principle
Cheung, Ka Chun
;
Chong, Wing Fung
;
Elliott, Robert J.
; …
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
3
,
pp. 679-702
Persistent link: https://www.econbiz.de/10011397624
Saved in:
28
Dynamic optimal capital structure with regime switching
Elliott, Robert J.
;
Shen, Jia
- In:
Annals of finance
11
(
2015
)
2
,
pp. 199-220
Persistent link: https://www.econbiz.de/10011376180
Saved in:
29
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
Saved in:
30
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
Saved in:
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