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Markovian projection onto a Heston model
Antonov, Alexandre; Misirpashaev, Timur; Piterbarg, Vladimir - In: The journal of computational finance 13 (2009/10) 1, pp. 23-47
Persistent link: https://www.econbiz.de/10003969739
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Threshold estimation of Markov models with jumps and interest rate modeling
Mancini, Cecilia; Renò, Roberto - In: Journal of econometrics 160 (2011) 1, pp. 77-92
Persistent link: https://www.econbiz.de/10009242541
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Exotic options with Lévy processes : the Markovian approach
Ortobelli Lozza, Sergio; Staino, Alessandro - In: Investment management and financial innovations 8 (2011) 1, pp. 140-156
Persistent link: https://www.econbiz.de/10009153809
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Regime switching in stochastic models of commodity prices : an application to an optimal tree harvesting problem
Chen, Shan; Insley, Margaret - In: Journal of economic dynamics & control 36 (2012) 2, pp. 201-219
Persistent link: https://www.econbiz.de/10009489614
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Volatility derivatives in market models with jumps
Lo, Harry; Mijatović, Aleksandar - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1159-1193
Persistent link: https://www.econbiz.de/10009407653
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Double barrier options in regime-switching hyper-exponential jump-diffusion models
Boyarchenko, Mitya; Bojarčenko, Svetlana I. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1005-1043
Persistent link: https://www.econbiz.de/10009407678
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Pricing and hedging of rating-sensitive claims modeled by F-doubly stochastic Markov chains
Jakubowski, Jacek; Niewęgłowski, Mariusz - In: Advanced mathematical methods for finance, (pp. 417-453). 2011
Persistent link: https://www.econbiz.de/10008991278
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Polynomial approximation to option prices under regime switching
Tang, Yunfan - In: North American actuarial journal 17 (2013) 2, pp. 168-179
Persistent link: https://www.econbiz.de/10010259828
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Risk-neutral modeling with affine and nonaffine models
Durham, Garland B. - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 650-681
Persistent link: https://www.econbiz.de/10010233868
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Estimating correlated jumps and stochastic volatilities
Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283
Persistent link: https://www.econbiz.de/10010226453