//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Siu, Tak Kuen"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: "Option pricing theory"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Option pricing theory
31
Optionspreistheorie
31
Markov chain
16
Markov-Kette
16
Stochastic process
13
Stochastischer Prozess
13
Volatility
9
Volatilität
9
Derivat
7
Derivative
7
Martingal
7
Martingale
7
Option trading
6
Optionsgeschäft
6
Regime-switching
6
Hedging
5
ARCH model
4
ARCH-Modell
4
Esscher transform
4
CAPM
3
Fast Fourier transform
3
Option pricing
3
Risikomanagement
3
Risk management
3
Theorie
3
Theory
3
Finanzmathematik
2
Generalized Esscher transform
2
Interest rate
2
Mathematical finance
2
Risiko
2
Risk
2
Swap
2
Yield curve
2
Zins
2
Zinsstruktur
2
filtering
2
stochastic flows
2
Agricultural commodities
1
Allgemeines Gleichgewicht
1
more ...
less ...
Online availability
All
Undetermined
10
Free
2
Type of publication
All
Article
30
Book / Working Paper
1
Type of publication (narrower categories)
All
Article in journal
29
Aufsatz in Zeitschrift
29
Arbeitspapier
1
Aufsatz im Buch
1
Book section
1
Graue Literatur
1
Non-commercial literature
1
Working Paper
1
more ...
less ...
Language
All
English
31
Author
All
Siu, Tak Kuen
Madan, Dilip B.
90
Cui, Zhenyu
73
Fabozzi, Frank J.
67
Joshi, Mark S.
66
Härdle, Wolfgang
63
Carr, Peter
60
Takahashi, Akihiko
59
Schoutens, Wim
57
Chiarella, Carl
53
Stentoft, Lars
51
Elliott, Robert J.
48
Jacobs, Kris
45
Hull, John
42
Benth, Fred Espen
38
Kwok, Yue-Kuen
37
Oosterlee, Cornelis W.
36
Jarrow, Robert A.
35
Kim, Young Shin
33
Schlögl, Erik
33
Chesney, Marc
32
Fusai, Gianluca
32
Christoffersen, Peter F.
31
Korn, Ralf
31
Wang, Xingchun
31
Zhang, Jin E.
31
Ewald, Christian-Oliver
30
Schwartz, Eduardo S.
30
Barone-Adesi, Giovanni
29
Platen, Eckhard
29
Račev, Svetlozar T.
29
Jacquier, Antoine (Jack)
28
Nguyen, Duy
28
Schoenmakers, John
28
Wilmott, Paul
28
Wong, Hoi Ying
28
Wystup, Uwe
28
Yang, Zhaojun
28
Alghalith, Moawia
27
Glasserman, Paul
27
more ...
less ...
Published in...
All
International journal of theoretical and applied finance
5
Insurance / Mathematics & economics
4
Applied mathematical finance
3
Economic modelling
3
Annals of finance
2
Computational economics
2
American journal of agricultural economics
1
Asia-Pacific financial markets
1
Discussion paper series
1
Energy economics
1
European journal of operational research : EJOR
1
Journal of economic dynamics & control
1
New methods in fixed income modeling : fixed income modeling
1
Operations research letters
1
Quantitative finance
1
The European journal of finance
1
The journal of derivatives : JOD
1
The journal of futures markets
1
more ...
less ...
Source
All
ECONIS (ZBW)
31
Showing
1
-
10
of
31
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
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
Persistent link: https://www.econbiz.de/10013174827
Saved in:
3
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:
4
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
Persistent link: https://www.econbiz.de/10012484403
Saved in:
5
Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei
;
Lu, Jiejun
;
Ching, Wai Ki
;
Siu, Tak Kuen
- In:
Computational economics
53
(
2019
)
2
,
pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
Saved in:
6
Hedging options in a doubly Markov-modulated financial market via stochastic flows
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012183224
Saved in:
7
The Heath-Jarrow-Morton model with regime shifts and jumps priced
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 45-59)
.
2018
Persistent link: https://www.econbiz.de/10012011578
Saved in:
8
On the market-consistent valuation of fish farms : using the real option approach and salmon futures
Ewald, Christian-Oliver
;
Ouyang, Ruolan
;
Siu, Tak Kuen
- In:
American journal of agricultural economics
99
(
2017
)
1
,
pp. 207-224
Persistent link: https://www.econbiz.de/10011761182
Saved in:
9
A self-exciting threshold jump-diffusion model for option valuation
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 168-193
Persistent link: https://www.econbiz.de/10011530946
Saved in:
10
A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen
- In:
European journal of operational research : EJOR
250
(
2016
)
3
,
pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
Saved in:
1
2
3
4
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->