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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
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A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
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Option pricing for GARCH models with Markov switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
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A Dupire equation for a regime-switching model
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
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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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Coherent risk measures for derivates under Black-Scholes economy
Yang, Hai; Siu, T. K. - In: International journal of theoretical and applied finance 4 (2001) 5, pp. 819-835
Persistent link: https://www.econbiz.de/10001612278