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Optionspreistheorie
Theorie
45
Theory
45
Markov chain
40
Markov-Kette
38
Option pricing theory
37
Stochastic process
30
Stochastischer Prozess
30
Portfolio selection
22
Portfolio-Management
22
Risiko
17
Risk
17
Esscher transform
11
Option trading
11
Optionsgeschäft
11
Regime-switching
11
Volatility
11
Volatilität
11
Risikomanagement
9
Risikomaß
9
Risk management
9
Risk measure
9
ARCH model
8
ARCH-Modell
8
Derivat
8
Derivative
8
Hedging
8
Credit risk
7
Kreditrisiko
7
Dividend
6
HJB equation
6
Martingal
6
Martingale
6
Option pricing
6
Time series analysis
6
Zeitreihenanalyse
6
Anleihe
5
Bond
5
CAPM
5
Dividende
5
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Article
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English
37
Author
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Siu, Tak Kuen
37
Elliott, Robert J.
15
Shen, Yang
9
Chan, Leunglung
5
Fan, Kun
3
Wang, Rongming
3
Badescu, Alexandru
2
Ewald, Christian-Oliver
2
Fard, Farzad Alavi
2
Lau, John W.
2
Ouyang, Ruolan
2
Ching, Wai Ki
1
Ewald, Christian-Olivier
1
Fung, Eric S.
1
Kulperger, Reg
1
Liew, Chuin Ching
1
Lu, Jiejun
1
Miettinen, Jarkko
1
Nawar, Roy
1
Ng, Michael K.
1
Yang, Hailiang
1
Zhang, Xin
1
Zhu, Dong-Mei
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Insurance / Mathematics & economics
7
International journal of theoretical and applied finance
5
Economic modelling
4
Applied mathematical finance
3
Annals of finance
2
Computational economics
2
Operations research letters
2
American journal of agricultural economics
1
Asia-Pacific financial markets
1
Discussion paper series
1
Energy economics
1
European journal of operational research : EJOR
1
Journal of economic dynamics & control
1
New methods in fixed income modeling : fixed income modeling
1
Quantitative finance
1
The European journal of finance
1
The journal of derivatives : JOD
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The journal of futures markets
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ECONIS (ZBW)
37
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1
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
Saved in:
2
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:
3
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
Saved in:
4
Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach
Fard, Farzad Alavi
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 712-721
Persistent link: https://www.econbiz.de/10010227894
Saved in:
5
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
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
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Operations research letters
41
(
2013
)
2
,
pp. 180-187
Persistent link: https://www.econbiz.de/10009727702
Saved in:
8
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
Saved in:
9
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:
10
Longevity bond pricing under stochastic interest rate and mortality with regime-switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
52
(
2013
)
1
,
pp. 114-123
Persistent link: https://www.econbiz.de/10009718990
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