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accessRights:"restricted"
~person:"Chang, Kuang-Liang"
~person:"Cui, Zhenyu"
~person:"He, Xin-Jiang"
~person:"Shi, Yanlin"
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Search: subject_exact:"Markov chain"
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Markov chain
29
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Option pricing theory
14
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Chang, Kuang-Liang
Cui, Zhenyu
He, Xin-Jiang
Shi, Yanlin
Tsionas, Efthymios G.
17
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14
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12
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11
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9
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9
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8
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7
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7
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7
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6
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ECONIS (ZBW)
29
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1
Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 662-676
Persistent link: https://www.econbiz.de/10014293179
Saved in:
2
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
3
The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang
- In:
Journal of international money and finance
133
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
Saved in:
4
Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha
;
He, Xin-Jiang
- In:
Computational economics
59
(
2022
)
3
,
pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
Saved in:
5
A closed-form estimator for the Markov switching in mean model
Shi, Yanlin
- In:
Finance research letters
44
(
2022
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014495068
Saved in:
6
Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension
Feng, Lingbing
;
Fu, Tong
;
Shi, Yanlin
;
Wang, Zili
- In:
Finance research letters
40
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012819431
Saved in:
7
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
8
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Saved in:
9
News sentiment and states of stock return volatility : evidence from long memory and discrete choice models
Shi, Yanlin
;
Ho, Kin-Yip
- In:
Finance research letters
38
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012485650
Saved in:
10
Pricing discretely monitored barrier options under Markov processes through markov chain approximation
Cui, Zhenyu
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 8-33
Persistent link: https://www.econbiz.de/10012486028
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