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~person:"Siu, Tak Kuen"
~subject:"Option pricing theory"
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Option pricing theory
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Option pricing
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Siu, Tak Kuen
Bayraktar, Erhan
5
Elliott, Robert J.
4
Fontana, Claudio
4
Hobson, David G.
4
Arai, Takuji
3
Biagini, Francesca
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Campi, Luciano
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Dolinsky, Yan
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Grbac, Zorana
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Madan, Dilip B.
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Fouque, Jean-Pierre
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Glau, Kathrin
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Guyon, Julien
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Hou, Zhaoxu
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Hung, Mao-Wei
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Jeanblanc, Monique
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Kallsen, Jan
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Menoukeu-Pamen, Olivier
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Miyahara, Yoshio
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Muhle-Karbe, Johannes
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Mwaniki, Ivivi Joseph
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Prigent, Jean-Luc
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International journal of theoretical and applied finance
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ECONIS (ZBW)
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A generalized Esscher transform for option valuation with regime switching risk
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 691-705
Persistent link: https://www.econbiz.de/10013367853
Saved in:
2
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
Persistent link: https://www.econbiz.de/10009776434
Saved in:
3
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
Saved in:
4
Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance
Ewald, Christian-Olivier
;
Nawar, Roy
;
Siu, Tak Kuen
- In:
Energy economics
36
(
2013
),
pp. 97-107
Persistent link: https://www.econbiz.de/10009724764
Saved in:
5
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:
6
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 finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
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