//--> //--> //-->
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"
~subject:"Derivat"
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
| 2 applied filters
Year of publication
From:
To:
Subject
All
Derivat
Option pricing theory
31
Optionspreistheorie
31
Markov chain
16
Markov-Kette
16
Stochastic process
13
Stochastischer Prozess
13
Volatility
9
Volatilität
9
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
3
Type of publication
All
Article
7
Type of publication (narrower categories)
All
Article in journal
7
Aufsatz in Zeitschrift
7
Language
All
English
7
Author
All
Siu, Tak Kuen
Hull, John
28
Madan, Dilip B.
17
Schoutens, Wim
17
Benth, Fred Espen
16
Wang, Xingchun
15
Fabozzi, Frank J.
14
Härdle, Wolfgang
14
Joshi, Mark S.
13
Prokopczuk, Marcel
13
Schlögl, Erik
13
Carr, Peter
12
Chiarella, Carl
12
Hess, Markus
12
Cui, Zhenyu
11
Deutsch, Hans-Peter
11
Jarrow, Robert A.
11
Escobar, Marcos
10
Gouriéroux, Christian
10
Howison, Sam
10
Lo, Andrew W.
10
Nikitopoulos, Christina Sklibosios
10
Kyriakou, Ioannis
9
Steiner, Manfred
9
Takahashi, Akihiko
9
Zheng, Wendong
9
Branger, Nicole
8
Cheng, Benjamin
8
Härdle, Wolfgang K.
8
Kwok, Yue-Kuen
8
Monfort, Alain
8
Osipenko, Maria
8
Perrakis, Stylianos
8
Brigo, Damiano
7
Cont, Rama
7
López Cabrera, Brenda
7
Mercurio, Fabio
7
Platen, Eckhard
7
Zagst, Rudi
7
Zhang, Jin E.
7
more ...
less ...
Published in...
All
American journal of agricultural economics
1
Applied mathematical finance
1
Economic modelling
1
Energy economics
1
International journal of theoretical and applied finance
1
Journal of economic dynamics & control
1
The journal of derivatives : JOD
1
more ...
less ...
Source
All
ECONIS (ZBW)
7
Showing
1
-
7
of
7
Sort
Relevance
Date (newest first)
Date (oldest first)
1
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:
2
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:
3
Valuing commodity options and futures options with changing economic conditions
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Economic modelling
51
(
2015
),
pp. 524-533
Persistent link: https://www.econbiz.de/10011476145
Saved in:
4
Option pricing and filtering with hidden Markov-modulated pure-jump processes
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Applied mathematical finance
20
(
2013
)
1/2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009737182
Saved in:
5
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:
6
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:
7
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:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->