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Option pricing theory
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Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
30
(
2013
),
pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
Saved in:
2
Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
Saved in:
3
Entropic two-asset option
Sebehela, Tumellano
-
2024
Persistent link: https://www.econbiz.de/10015046655
Saved in:
4
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance
53
(
2013
)
3
,
pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
Saved in:
5
Pricing foreign equity options with regime-switching
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Economic modelling
37
(
2014
),
pp. 296-305
Persistent link: https://www.econbiz.de/10010417689
Saved in:
6
Local risk-minimization under Markov-modulated exponential Lévy model
Menoukeu-Pamen, Olivier
;
Momeya, Romuald
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011403879
Saved in:
7
Pricing annuity guarantees under a double regime-switching model
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Insurance
62
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011312087
Saved in:
8
Valuing equity-linked death benefits in a regime-switsching framework
Siu, Chi Chung
;
Yam, Sheung Chi Phillip
;
Yang, Hailiang
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
2
,
pp. 355-395
Persistent link: https://www.econbiz.de/10011312281
Saved in:
9
Analysis of a drawdown-based regime-switching Lévy insurance model
Landriault, David
;
Li, Bin
;
Li, Shu
- In:
Insurance
60
(
2015
),
pp. 98-107
Persistent link: https://www.econbiz.de/10010484823
Saved in:
10
A reduced lattice model for option pricing under regime-switching
Costabile, Massimo
;
Leccadito, Arturo
;
Massabo, Ivar
; …
- In:
Review of quantitative finance and accounting
42
(
2014
)
4
,
pp. 667-690
Persistent link: https://www.econbiz.de/10010433525
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