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Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia; Minozzo, Marco - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
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Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
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Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
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Continuously monitored barrier options under Markov processes
Mijatovi´c, Aleksandar; Pistorius, Martijn - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10009712564
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Volatility derivatives in market models with jumps
Lo, Harry; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1159-1193
Persistent link: https://www.econbiz.de/10009407653
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Humps in the volatility structure of the crude oil futures market : new evidence
Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy economics 40 (2013), pp. 989-1000
Persistent link: https://www.econbiz.de/10010355994
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Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
Capponi, Agostino; Figueroa-López, José E.; Nisen, Jeffrey - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 250-288
Persistent link: https://www.econbiz.de/10010357375
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A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
Elias, R. S.; Wahab, M. I. M.; Fang, Liping - In: European journal of operational research : EJOR 232 (2014) 3, pp. 549-560
Persistent link: https://www.econbiz.de/10010224963
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Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
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Default times in a continuous time Markov chain economy
Elliott, Robert J.; Hoek, John van der - In: Applied mathematical finance 20 (2013) 5/6, pp. 450-460
Persistent link: https://www.econbiz.de/10010235596