Similar Search Results

Narrow search

Pricing currency options under two-factor Markov-modulated stochastic volatility models

Siu, Tak Kuen; Yang, Hailiang; Lau, John W. - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 295-303

Persistent link: https://www.econbiz.de/10008893165

Double dividend, dynamic Laffer effects and public abatement

Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Economic modelling 27 (2010) 3, pp. 656-666

Persistent link: https://www.econbiz.de/10008389788

Option pricing and Esscher transform under regime switching

Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: Annals of finance 1 (2005) 4, pp. 423-432

Persistent link: https://www.econbiz.de/10003090579

A dynamic binormal expansion technique for credit risk measurement : a Bayesian filtering approach

Woo, Wing Hoe; Siu, Tak Kuen - In: Applied mathematical finance 11 (2004) 2, pp. 165-186

Persistent link: https://www.econbiz.de/10002085494

On Bayesian value at risk : from linear to non-linear portfolios

Siu, Tak Kuen; Tong, Howell; Yang, Hailiang - In: Asia-Pacific financial markets 11 (2004) 2, pp. 161-184

Persistent link: https://www.econbiz.de/10003357652

Coherent risk measures for derivates under Black-Scholes economy

Yang, Hai; Siu, T. K. - In: International journal of theoretical and applied finance 4 (2001) 5, pp. 819-835

Persistent link: https://www.econbiz.de/10001612278

Lower and Upper Pricing of Financial Assets

Elliott, Robert J.; Madan, Dilip B.; Siu, Ken - 2021

Modeling of uncertainty by probability errs by ignoring the uncertainty in probability. When financial valuation recognizes the uncertainty of probability the best the market may offer is a two price framework of a lower and upper valuation. The martingale theory of asset prices is then replaced...

Persistent link: https://www.econbiz.de/10013217068