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Corporate credit risk prediction under stochastic volatility and jumps
Bu, Di; Liao, Yin - In: Journal of economic dynamics & control 47 (2014), pp. 263-281
Persistent link: https://www.econbiz.de/10010485852
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The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift
Liu, Xianghua; Xiao, Xueping - In: International journal of services technology and management 20 (2014) 1/2/3, pp. 71-84
Persistent link: https://www.econbiz.de/10010505392
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Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
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Heat kernel models for asset pricing
Macrina, Andrea - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-34
Persistent link: https://www.econbiz.de/10010498834
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An improved Markov chain approximation methodology : derivatives pricing and model calibration
Lo, Chia Chun; Skindilias, Konstantinos - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-22
Persistent link: https://www.econbiz.de/10010498837
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An explicit analytic formula for pricing barrier options with regime switching
Chan, Leunglung; Zhu, Song-Ping - In: Mathematics and financial economics 9 (2015) 1, pp. 29-37
Persistent link: https://www.econbiz.de/10010500699
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Exponential stock models driven by tempered stable processes
Küchler, Uwe; Tappe, Stefan - In: Journal of econometrics 181 (2014) 1, pp. 53-63
Persistent link: https://www.econbiz.de/10010473381
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Sequential bayesian learning for stochastic volatility with variance-gamma jumps in returns
Warty, Samir P.; Lopes, Hehibert F.; Polson, Nicholas G. - 2014
Persistent link: https://www.econbiz.de/10010440180
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Option pricing with continuous-time Markov chain regime switching
Edwards, Craig Steven - 2004
Persistent link: https://www.econbiz.de/10003378770
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Option pricing for pure jump processes with Markov switching compensators
Elliott, Robert J. R.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275
Persistent link: https://www.econbiz.de/10003334921