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Analytical valuation of compound options under regime-switching dynamics
Breton, Michèle; Ndoye, Mbaye - In: The journal of derivatives : JOD 29 (2021) 2, pp. 120-148
Persistent link: https://www.econbiz.de/10012698128
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Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng; Ma, Jingtang; Cui, Zhenyu - In: Mathematical methods of operations research : ZOR 93 (2021) 2, pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
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Noncausal affine processes with applications to derivative pricing
Gouriéroux, Christian; Lu, Yang - 2019
Persistent link: https://www.econbiz.de/10012237262
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A stochastic volatility model with realized measures for option pricing
Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
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Markov modulated jump-diffusions for currency options when regime switching risk is priced
Liu, David - In: International journal of financial engineering 6 (2019) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10012314539
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Option pricing in exponential Lévy models with transaction cost
Cantarutti, Nicola; Guerra, Manuel; Guerra, João; … - In: The journal of computational finance 23 (2020) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10012295860
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Branching particle pricers with heston examples
Kouritzin, Michael A.; MacKay, Anne - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
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Structural pricing of CoCos and deposit insurance with regime switching and jumps
Le Courtois, Olivier; Su, Xiaoshan - In: Asia Pacific financial markets 27 (2020) 4, pp. 477-520
Persistent link: https://www.econbiz.de/10012390326
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Markovian lifts of positive semidefinite affine Volterra-typeprocesses
Cuchiero, Christa; Teichmann, Josef - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 407-448
Persistent link: https://www.econbiz.de/10012127229
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Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan; Kercheval, Alec - In: Applied mathematical finance 25 (2018) 5/6, pp. 411-433
Persistent link: https://www.econbiz.de/10012129172