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Fourier transformation and the pricing of average-rate derivatives
Ju, Nengjiu; Zhong, Rui - In: Review of derivatives research 9 (2006) 3, pp. 187-212
Persistent link: https://www.econbiz.de/10003608138
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Pricing risky debts under a Markov-modudated Merton model with completely random measures
Lau, John W.; Siu, Tak Kuen - In: Computational economics 31 (2008) 3, pp. 255-288
Persistent link: https://www.econbiz.de/10003691910
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The role of stochastic volatility and return jumps : reproducing volatility and higher moments in the KOSPI 200 returns dynamics
Kim, In-joon; Baek, In-Seok; Noh, Jaesun; Kim, Sol - In: Review of quantitative finance and accounting 29 (2007) 1, pp. 69-110
Persistent link: https://www.econbiz.de/10003600092
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Option pricing for GARCH models with Markov switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
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Lévy processes driven by stochastic volatility
Chourdakis, Kyriakos - In: Asia-Pacific financial markets 12 (2005) 4, pp. 333-352
Persistent link: https://www.econbiz.de/10003496705
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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
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On computing complete distributions for American and European standard and exotic options on stocks paying discrete dividends with applications to stochastic dominance analysis
Hodges, Paul E.; Haensly, Paul J.; Theis, John - In: Quarterly journal of business and economics : QJBE 46 (2007) 3, pp. 45-64
Persistent link: https://www.econbiz.de/10003547145
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Dynamik der Zielaktie bei Unternehmensübernahmen und die subjektive Wahrscheinlichkeit des Übernahmeerfolges
Gelʹman, Sergej V. - 2007
Persistent link: https://www.econbiz.de/10003516923
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A comparison of Markov-functional and market models : the one-dimensional case
Bennett, Michael N.; Kennedy, Joanne E. - In: The journal of derivatives : the official publication … 13 (2005) 2, pp. 22-43
Persistent link: https://www.econbiz.de/10003299540
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A "coherent state transform" approach to derivative pricing
Perissinotto, Ludovico; Tebaldi, Claudio - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 125-151
Persistent link: https://www.econbiz.de/10003855755