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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Markov chain"
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Markov chain
Option trading
158
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Option pricing theory
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Elliott, Robert J.
1
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1
Gan, Junwu
1
Gapeev, Pavel V.
1
He, Xin-Jiang
1
Kim, Bara
1
Kim, Jeongsim
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Mitov, Georgi K.
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International journal of theoretical and applied finance
Journal of economic dynamics & control
Annals of finance
4
The journal of futures markets
3
Computational economics
2
Finance research letters
2
International journal of financial engineering
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
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Review of derivatives research
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Stevens Institute of Technology School of Business Research Paper
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Working paper / Department of Economics, Queen Mary
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Asia-Pacific financial markets
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De Gruyter studies in mathematics
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INFORMS journal on computing : JOC
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International journal of theoretical and applied finance : IJTAF
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International review of economics & finance : IREF
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Investment management and financial innovations
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Journal of derivatives and quantitative studies
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Journal of risk and financial management : JRFM
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Journal of risk finance : the convergence of financial products and insurance
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Modern economy
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Review of Pacific Basin financial markets and policies
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The European journal of finance
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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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1
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
71
(
2016
),
pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
Saved in:
2
Pricing external barrier options in a regime-switching model
Kim, Jerim
;
Kim, Jeongsim
;
Yoo, Hyun Joo
;
Kim, Bara
- In:
Journal of economic dynamics & control
53
(
2015
),
pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
Saved in:
3
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
4
Pricing of perpetual American options in a model with partial information
Gapeev, Pavel V.
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009562132
Saved in:
5
Barrier option pricing by branching processes
Mitov, Georgi K.
;
Račev, Svetlozar T.
;
Kim, Young Shin
; …
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1055-1073
Persistent link: https://www.econbiz.de/10003928804
Saved in:
6
Analytic backward induction of option cash flows: a new application paradigm for the Markovian interest rate models
Gan, Junwu
- In:
International journal of theoretical and applied finance
8
(
2005
)
8
,
pp. 1019-1057
Persistent link: https://www.econbiz.de/10003280033
Saved in:
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