Search Results - subject:"conditional Esscher transform"

An assessment of model risk in pricing wind derivatives

Gracianti, Giovani; Rui, Zhou; Li, Johnny Siu-Hang; Wu, … - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 479-502

Persistent link: https://www.econbiz.de/10014436785

Modeling housing price dynamics and their impact on the cost of no-negative-equity-guarantees for equity releasing products

Huang, Jr-Wei; Yang, Sharon S.; Chang, Chuang-chang - In: The journal of real estate finance and economics 63 (2021) 2, pp. 249-279

Persistent link: https://www.econbiz.de/10012617461

Bitcoin option pricing with a SETAR-GARCH model

Siu, Tak Kuen; Elliott, Robert J. - In: The European journal of finance 27 (2021) 6, pp. 564-595

Persistent link: https://www.econbiz.de/10012484403

Non-Gaussian GARCH option pricing models and their diffusion limits

Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: European journal of operational research : EJOR 247 (2015) 3, pp. 820-830

Persistent link: https://www.econbiz.de/10011386309

Pricing options on stocks denominated in different currencies: Theory and illustrations

Ng, Andrew C.Y.; Li, Johnny Siu-Hang; Chan, Wai-Sum - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 339-354

Basket options have long been an important structured product. One can write a basket option on assets denominated in different currencies, but settle the option in one single currency at some fixed exchange rate. This special type of basket options can be found in many life insurance products...

Persistent link: https://www.econbiz.de/10010730247

Pricing options on stocks denominated in different currencies : theory and illustrations

Ng, Andrew C. Y.; Li, Johnny Siu-hang; Chan, Wai-Sum - In: The North American journal of economics and finance : a … 26 (2013), pp. 339-354

Persistent link: https://www.econbiz.de/10010365762

OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING

ELLIOTT, ROBERT J.; SIU, TAK KUEN; CHAN, LEUNGLUNG - In: International Journal of Theoretical and Applied … 09 (2006) 06, pp. 825-841

chain process. By augmenting the conditional Esscher transform with the observable Markov switching process, a Markov … switching conditional Esscher transform (MSCET) is developed to identify a martingale measure for option valuation in the …

Persistent link: https://www.econbiz.de/10004971802