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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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Bond and option pricing for interest rate model with clustering effects
Zhang, Xin; Xiong, Jie; Shen, Yang - In: Quantitative finance 18 (2018) 6, pp. 969-981
Persistent link: https://www.econbiz.de/10011911229
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Continuous-time stochastic mutual fund management game between active and passive funds
Han, Kai; Rong, Ximin; Shen, Yang; Zhao, Hui - In: Quantitative finance 21 (2021) 10, pp. 1647-1667
Persistent link: https://www.econbiz.de/10012653705