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A general framework for time-changed Markov processes and applications
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
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Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Neufeld, Ariel - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-12
Persistent link: https://www.econbiz.de/10011971005
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A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method
Brix, Anne Floor; Lunde, Asger; Wei, Wei - In: Energy economics 72 (2018), pp. 560-582
Persistent link: https://www.econbiz.de/10011972455
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Polynomial upper and lower bounds for financial derivative price functions under regime-switching
Bhim, Louis; Kawai, Reiichiro - In: The journal of computational finance 22 (2018) 2, pp. 35-71
Persistent link: https://www.econbiz.de/10011976660
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Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity
Jang, Jiwook; Park, Jong Jun; Jang, Hyun Jin - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10011956976
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COS method for option pricing under a regime-switching model with time-changed Lévy processes
Tour, G.; Thakoor, N.; Khaliq, Abdul Q. M.; Tangman, D. Y. - In: Quantitative finance 18 (2018) 4, pp. 673-692
Persistent link: https://www.econbiz.de/10011906458
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Estimating stochastic volatility with jumps and asymmetry in Asian markets
Saranya, K.; Prasanna, P. Krishna - In: Finance research letters 25 (2018), pp. 145-153
Persistent link: https://www.econbiz.de/10012003495
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On cash settled IRR-swaptions and Markov functional modeling
Bermin, Hans-Peter; Williams, Gareth - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10011686834
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Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Li, Chang-Yi; Chen, Son-nan; Lin, Shih-kuei - In: The European journal of finance 22 (2016) 10/12, pp. 887-908
Persistent link: https://www.econbiz.de/10011715220
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Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane; Ismail, Amine; Pham, Huyên - In: Applied mathematical finance 24 (2017) 1/2, pp. 38-75
Persistent link: https://www.econbiz.de/10011746993