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A higher-order interactive hidden Markov model and its applications

Zhu, Dong-Mei; Ching, Wai Ki; Elliott, Robert J.; Siu, … - In: OR spectrum : quantitative approaches in management 39 (2017) 4, pp. 1055-1069

Persistent link: https://www.econbiz.de/10011777086

The Heath-Jarrow-Morton model with regime shifts and jumps priced

Elliott, Robert J.; Siu, Tak Kuen - In: New methods in fixed income modeling : fixed income modeling, (pp. 45-59). 2018

Persistent link: https://www.econbiz.de/10012011578

Two price economic equilibria and financial market bid/ask prices

Elliott, Robert J.; Madan, Dilip B.; Siu, Tak Kuen - In: Annals of finance 17 (2021) 1, pp. 27-43

Persistent link: https://www.econbiz.de/10012489935

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

A hidden Markov regime-switching smooth transition model

Elliott, Robert J.; Siu, Tak Kuen; Lau, John W. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10011965140

Hedging options in a doubly Markov-modulated financial market via stochastic flows

Siu, Tak Kuen; Elliott, Robert J. - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-41

Persistent link: https://www.econbiz.de/10012183224

A generalized Esscher transform for option valuation with regime switching risk

Elliott, Robert J.; Siu, Tak Kuen - In: Quantitative finance 22 (2022) 4, pp. 691-705

Persistent link: https://www.econbiz.de/10013367853

American option pricing and filtering with a hidden regime-switching jump diffusion

Siu, Tak Kuen; Elliott, Robert J. - In: The journal of derivatives : JOD 29 (2022) 3, pp. 106-123

Persistent link: https://www.econbiz.de/10013174827

A general theory of finite state Backward Stochastic Difference Equations

Cohen, Samuel N.; Elliott, Robert J. - In: Stochastic Processes and their Applications 120 (2010) 4, pp. 442-466

By analogy with the theory of Backward Stochastic Differential Equations, we define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. This paper considers these processes as constructions in their own right, not as approximations to the...

Persistent link: https://www.econbiz.de/10008873814

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

In this paper we develop a method for pricing derivatives under a Markov switching version of the Heston-Nandi GARCH (1, 1) model by using a well known tool from actuarial science, namely the Esscher transform. We suppose that the dynamics of the GARCH process switch over time according to one...

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