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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 PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Annals of finance 4 (2008) 1, pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
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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
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Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
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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
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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
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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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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
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Option valuation under a double regime-switching model
Shen, Yang; Fan, Kun; Siu, Tak Kuen - In: The journal of futures markets 34 (2014) 5, pp. 451-478
Persistent link: https://www.econbiz.de/10010370881
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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