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Two Price Economic Equilibria...
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Derivative
Theorie
274
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272
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160
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157
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111
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111
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82
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80
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73
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72
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60
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59
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58
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57
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48
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48
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45
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Madan, Dilip B.
26
Elliott, Robert J.
10
Siu, Tak Kuen
8
Schoutens, Wim
7
Wang, King
5
Milne, Frank
3
Badescu, Alexandru
2
De Spiegeleer, Jan
2
Eberlein, Ernst
2
Reyners, Sofie
2
Shefrin, Hersh
2
Asmussen, Søren
1
Bakshi, Gurdip S.
1
Bradrania, Reza
1
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1
Ching, Wai Ki
1
Ewald, Christian-Olivier
1
Fan, Kun
1
Glau, Kathrin
1
Gu, Jia-wen
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Tertychnyi, Maksym
1
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1
Wang, Rongming
1
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1
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Applied mathematical finance
3
International journal of theoretical and applied finance
3
Robert H. Smith School Research Paper
3
Annals of finance
2
Energy economics
2
Quantitative finance
2
The journal of derivatives : JOD
2
Economic modelling
1
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1
IMA journal of management mathematics
1
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1
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1
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1
Queen's Economics Department working paper
1
Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011
1
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1
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1
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1
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1
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1
The journal of risk model validation
1
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ECONIS (ZBW)
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1
On pricing and hedging options in regime-switching models with feedback effect
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alexandru
- In:
Journal of economic dynamics & control
35
(
2011
)
5
,
pp. 694-713
Persistent link: https://www.econbiz.de/10009240566
Saved in:
2
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
Saved in:
3
Option pricing and filtering with hidden Markov-modulated pure-jump processes
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Applied mathematical finance
20
(
2013
)
1/2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009737182
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance
Ewald, Christian-Olivier
;
Nawar, Roy
;
Siu, Tak Kuen
- In:
Energy economics
36
(
2013
),
pp. 97-107
Persistent link: https://www.econbiz.de/10009724764
Saved in:
7
Valuing commodity options and futures options with changing economic conditions
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Economic modelling
51
(
2015
),
pp. 524-533
Persistent link: https://www.econbiz.de/10011476145
Saved in:
8
How correlation risk in basket credit derivatives might be priced and managed?
Zhu, Dong-Mei
;
Gu, Jia-wen
;
Yu, Feng-Hui
;
Ching, Wai Ki
; …
- In:
IMA journal of management mathematics
32
(
2021
)
2
,
pp. 195-219
Persistent link: https://www.econbiz.de/10012434401
Saved in:
9
Binomial models in finance : with 25 tables
Hoek, John van der
;
Elliott, Robert J.
-
2006
Persistent link: https://www.econbiz.de/10002734174
Saved in:
10
Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij
;
Tertychnyi, Maksym
;
Elliott, Robert J.
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 67-76
Persistent link: https://www.econbiz.de/10010402730
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