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~isPartOf:"Finance research letters"
~isPartOf:"Journal of empirical finance"
~person:"Chen, Jun-Home"
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Option pricing theory
3
Optionspreistheorie
3
Volatility
3
Volatilität
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Currency derivative
2
Markov-modulated Heath-Jarrow-Morton model
2
Stochastic process
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Stochastischer Prozess
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Währungsderivat
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Chooser option
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Currency option
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Esscher transform
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Foreign exchange (FX) option
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Foreign exchange (FX) rate
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Markov chain
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Markov-Kette
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Markovian regime-switching jump-diffusion model
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Regime-switching Esscher transform
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State-dependent Heath-Jarrow-Morton model
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Two-factor Markov-modulated stochastic volatility model with double exponential jumps
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Two-factor Markov-modulated stochastic volatility model with jumps
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Chen, Jun-Home
Wang, Xingchun
7
Lee, Hangsuck
4
Lee, Minha
3
Lian, Yu-Min
3
Madan, Dilip B.
3
Stentoft, Lars
3
Wang, King
3
Zhao, Yonggan
3
Ziemba, William T.
3
Chung, Y. Peter
2
Cui, Zhenyu
2
Ha, Hongjun
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Hsu, Pao-peng
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Jeon, Junkee
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Johnson, Herbert
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Jun, Doobae
2
Kong, Byungdoo
2
Ku, Hyejin
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León Valle, Ángel Manuel
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Li, Hongyi
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Schadner, Wolfgang
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Wang, Guanying
2
Xiao, Weilin
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Xu, Weidong
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Afik, Zvika
1
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1
Alcock, Jamie
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Altay-Salih, Aslihan
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Ammann, Manuel
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Amédée-Manesme, Charles-Olivier
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Finance research letters
Journal of empirical finance
The North American journal of economics and finance : a journal of financial economics studies
2
International review of economics & finance : IREF
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
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Valuation of chooser options with state-dependent risks
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
52
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
Saved in:
2
Foreign exchange option pricing under regime switching with asymmetrical jumps
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
46
(
2022
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10013341395
Saved in:
3
Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy
Lian, Yu-Min
;
Chen, Jun-Home
;
Liao, Szu-Lang
- In:
Finance research letters
16
(
2016
),
pp. 208-219
Persistent link: https://www.econbiz.de/10011656179
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