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Drift and volatility estimation in discrete time

Elliott, Robert J. - In: Journal of economic dynamics & control 22 (1998) 2, pp. 209-218

Persistent link: https://www.econbiz.de/10001232395

Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying

Chesney, Marc; Elliott, Robert J.; Madan, Dilip B.; … - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 85-99

Persistent link: https://www.econbiz.de/10001333352

Quadratic hedging schemes for non-Gaussian GARCH models

Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of economic dynamics & control 42 (2014), pp. 13-32

Persistent link: https://www.econbiz.de/10010426624

Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models

Elliott, Robert J.; Krishnamurthy, Vikram; Sass, Jörn - In: The econometrics journal 11 (2008) 2, pp. 244-270

Persistent link: https://www.econbiz.de/10003750782

Pricing volatility swaps under Heston's stochastic volatility model with regime switching

Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Applied mathematical finance 14 (2007) 1, pp. 41-62

Persistent link: https://www.econbiz.de/10003542938

Non-Gaussian GARCH option pricing models and their diffusion limits

Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: European journal of operational research : EJOR 247 (2015) 3, pp. 820-830

Persistent link: https://www.econbiz.de/10011386309

A Dupire equation for a regime-switching model

Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-13

Persistent link: https://www.econbiz.de/10011403770

Heston-Type Stochastic Volatility with a Markov Switching Regime

Elliott, Robert J. - 2016

We construct a Heston-type stochastic volatility model with a Markov switching regime to price a plain-vanilla stock option. A semi-analytic solution, which contains a matrix ODE is obtained and numerically calculated. Our model is flexible enough to provide a wide variety of volatility surfaces...

Persistent link: https://www.econbiz.de/10013006139

The Heath-Jarrow-Morton model with regime shifts and jumps priced

Elliott, Robert J.; Siu, Tak Kuen - In: New methods in fixed income modeling : fixed income modeling, (pp. 45-59). 2018

Persistent link: https://www.econbiz.de/10012011578

A simple efficient approximation to price basket stock options with volatility smile

Wu, Ping; Elliott, Robert J. - In: Annals of finance 13 (2017) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011944955