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Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen; Elliott, Robert J. - In: The European journal of finance 27 (2021) 6, pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
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A hidden Markov regime-switching smooth transition model
Elliott, Robert J.; Siu, Tak Kuen; Lau, John W. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10011965140
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Hedging options in a doubly Markov-modulated financial market via stochastic flows
Siu, Tak Kuen; Elliott, Robert J. - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-41
Persistent link: https://www.econbiz.de/10012183224
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A generalized Esscher transform for option valuation with regime switching risk
Elliott, Robert J.; Siu, Tak Kuen - In: Quantitative finance 22 (2022) 4, pp. 691-705
Persistent link: https://www.econbiz.de/10013367853
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Dynamic fund protection for property markets
Siu, Tak Kuen; Nguyen, Ha; Wang, Ning - In: North American actuarial journal : NAAJ ; leading the … 26 (2022) 3, pp. 383-402
Persistent link: https://www.econbiz.de/10013353174
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Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
Wang, Yike; Liu, Jingzhen; Siu, Tak Kuen - In: Finance and stochastics 28 (2024) 1, pp. 161-214
Persistent link: https://www.econbiz.de/10014447662
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Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
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Investment-consumption optimization with transaction cost and learning about return predictability
Wang, Ning; Siu, Tak Kuen - In: European journal of operational research : EJOR 318 (2024) 3, pp. 877-891
Persistent link: https://www.econbiz.de/10015048184
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American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen; Elliott, Robert J. - In: The journal of derivatives : JOD 29 (2022) 3, pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
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Two Price Economic Equilibria and Financial Market Bid/Ask prices
Madan, Dilip B.; Elliott, Robert J.; Siu, Tak Kuen - 2020
Demand and supply uncertainty lead to market models setting prices to levels of acceptable risk for excess supplies and net revenues. The result is a two price equilibrium. Equilibrium solutions applied to financial market data infer demand and supply elasticities and log normal volatilities....
Persistent link: https://www.econbiz.de/10014095796