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~isPartOf:"Annals of finance"
~isPartOf:"Applied mathematical finance"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Working papers"
~person:"Siu, Tak Kuen"
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Search: subject_exact:"Optionspreistheorie"
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Option pricing theory
6
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4
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Siu, Tak Kuen
Elliott, Robert J.
8
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5
Fusai, Gianluca
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Annals of finance
Applied mathematical finance
European journal of operational research : EJOR
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5
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3
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ECONIS (ZBW)
6
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1
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:
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
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:
4
Option valuation with a discrete-time double Markovian regime-switching model
Siu, Tak Kuen
;
Fung, Eric S.
;
Ng, Michael K.
- In:
Applied mathematical finance
18
(
2011
)
5/6
,
pp. 473-490
Persistent link: https://www.econbiz.de/10009422572
Saved in:
5
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
Saved in:
6
Option pricing and Esscher transform under regime switching
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
Annals of finance
1
(
2005
)
4
,
pp. 423-432
Persistent link: https://www.econbiz.de/10003090579
Saved in:
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