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Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
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Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Fard, Farzad Alavi; Siu, Tak Kuen - In: Annals of finance 9 (2013) 3, pp. 421-438
Persistent link: https://www.econbiz.de/10009776434
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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 when the regime-switching risk is priced
Siu, Tak Kuen; Yang, Hailiang; Lau, John W. - 2007
Persistent link: https://www.econbiz.de/10003647140
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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