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~isPartOf:"Insurance / Mathematics & economics"
~subject:"Markov-Kette"
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Markov-Kette
Option pricing theory
139
Optionspreistheorie
139
Stochastic process
66
Stochastischer Prozess
66
Lebensversicherung
36
Life insurance
36
Portfolio selection
34
Portfolio-Management
34
Volatility
26
Volatilität
26
Hedging
21
Finanzmathematik
19
Mathematical finance
19
Mortality
15
Option trading
15
Optionsgeschäft
15
Risk
15
Sterblichkeit
15
Derivat
14
Derivative
14
Interest rate
14
Risiko
14
Zins
14
Private Altersvorsorge
13
Private retirement provision
13
Risikomanagement
12
Risk management
12
Dividend
11
Dividende
11
Lévy process
11
Risikomodell
10
Risk model
10
Variable annuities
10
Credit risk
9
Kreditrisiko
9
Markov chain
9
Stochastic volatility
9
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9
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Shen, Yang
3
Siu, Tak Kuen
3
Godin, Frédéric
2
Trottier, Denis-Alexandre
2
Cui, Zhenyu
1
Elliott, Robert J.
1
Fan, Kun
1
Hieber, Peter
1
Kang, Boda
1
Kirkby, J. Lars
1
Lai, Van Son
1
Liew, Chuin Ching
1
Nguyen, Duy
1
Sviščuk, Anatolij
1
Tertychnyi, Maksym
1
Wang, Rongming
1
Zhu, Dan
1
Ziveyi, Jonathan
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Insurance / Mathematics & economics
International journal of theoretical and applied finance
31
Quantitative finance
12
European journal of operational research : EJOR
11
Annals of finance
9
Finance and stochastics
9
Finance research letters
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Computational economics
8
Review of derivatives research
8
Asia-Pacific financial markets
7
Energy economics
6
Journal of econometrics
6
Journal of economic dynamics & control
6
The journal of futures markets
6
Applied mathematical finance
5
International journal of financial engineering
5
Review of quantitative finance and accounting
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
The journal of computational finance
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
International journal of theoretical and applied finance : IJTAF
4
Journal of banking & finance
4
Stevens Institute of Technology School of Business Research Paper
4
The European journal of finance
4
The North American journal of economics and finance : a journal of financial economics studies
4
Working paper / Department of Econometrics and Business Statistics, Monash University
4
Economic modelling
3
International review of economics & finance : IREF
3
International review of financial analysis
3
Journal of empirical finance
3
Journal of financial and quantitative analysis : JFQA
3
Journal of mathematical finance
3
Operations research
3
Working paper / Department of Economics, Queen Mary
3
Working papers in economics
3
Annals of operations research
2
Central European journal of economic modelling and econometrics
2
Cogent economics & finance
2
Economics / Discussion papers : the open-access, open-assessment e-journal
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ECONIS (ZBW)
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1
Option
pricing in regime-switching frameworks with the Extended Girsanov Principle
Godin, Frédéric
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 116-129
Persistent link: https://www.econbiz.de/10012649213
Saved in:
2
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
Kang, Boda
;
Shen, Yang
;
Zhu, Dan
;
Ziveyi, Jonathan
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 96-127
Persistent link: https://www.econbiz.de/10013348971
Saved in:
3
Option
pricing under regime-switching models : novel approaches removing path-dependence
Godin, Frédéric
;
Lai, Van Son
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
87
(
2019
),
pp. 130-142
Persistent link: https://www.econbiz.de/10012058933
Saved in:
4
Cliquet-style return guarantees in a regime switching Lévy model
Hieber, Peter
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 138-147
Persistent link: https://www.econbiz.de/10011694412
Saved in:
5
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
Saved in:
6
Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij
;
Tertychnyi, Maksym
;
Elliott, Robert J.
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 67-76
Persistent link: https://www.econbiz.de/10010402730
Saved in:
7
Pricing annuity guarantees under a double regime-switching model
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011312087
Saved in:
8
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
Saved in:
9
A hidden Markov regime-switching model for
option
valuation
Liew, Chuin Ching
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
47
(
2010
)
3
,
pp. 374-384
Persistent link: https://www.econbiz.de/10008747009
Saved in:
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