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European option pricing with market frictions, regime switches and model uncertainty

Siu, Tak Kuen - In: Insurance / Mathematics & economics 113 (2023), pp. 233-250

Persistent link: https://www.econbiz.de/10014466214

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

Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching

Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586

Persistent link: https://www.econbiz.de/10012134818

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

Option pricing and Esscher transform under regime switching

Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: Annals of Finance 1 (2005) 4, pp. 423-432

Persistent link: https://www.econbiz.de/10005808845

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 … 14 (2011) 05, pp. 669-708

Under discrete-time GARCH models markets are incomplete so there is more than one price kernel for valuing contingent claims. This motivates the quest for selecting an appropriate price kernel. Different methods have been proposed for the choice of a price kernel. Some of them can be justified...

Persistent link: https://www.econbiz.de/10009245356