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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
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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
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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
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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
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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
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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
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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
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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
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Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang - In: European journal of operational research : EJOR 285 (2020) 1, pp. 66-80
Persistent link: https://www.econbiz.de/10012239478
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The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen - In: Applied economics 53 (2021) 17, pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918