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Option Prices with Stochastic...
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Option pricing theory
31
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31
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14
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9
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Siu, Tak Kuen
Madan, Dilip B.
93
Cui, Zhenyu
73
Härdle, Wolfgang
73
Fabozzi, Frank J.
67
Joshi, Mark S.
67
Carr, Peter
64
Schoutens, Wim
61
Takahashi, Akihiko
59
Chiarella, Carl
53
Elliott, Robert J.
53
Stentoft, Lars
52
Jacobs, Kris
47
Wystup, Uwe
45
Hull, John
42
Jarrow, Robert A.
40
Benth, Fred Espen
39
Kwok, Yue-Kuen
39
Korn, Ralf
38
Oosterlee, Cornelis W.
36
Schlögl, Erik
36
Belomestny, Denis
35
Lee, Cheng F.
35
Chesney, Marc
34
Fusai, Gianluca
34
Platen, Eckhard
34
Kim, Young Shin
33
Schoenmakers, John
33
Barone-Adesi, Giovanni
32
Christoffersen, Peter F.
32
Perrakis, Stylianos
32
Wang, Xingchun
32
Schwartz, Eduardo S.
31
Zhang, Jin E.
31
Ewald, Christian-Oliver
30
Račev, Svetlozar T.
30
Scaillet, Olivier
30
Wilmott, Paul
30
Subrahmanyam, Marti G.
29
Alghalith, Moawia
28
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International journal of theoretical and applied finance
5
Insurance / Mathematics & economics
4
Annals of finance
3
Applied mathematical finance
3
Economic modelling
3
Computational economics
2
American journal of agricultural economics
1
Annals of operations research
1
Asia-Pacific financial markets
1
Discussion paper series
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1
European journal of operational research : EJOR
1
Journal of economic dynamics & control
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New methods in fixed income modeling : fixed income modeling
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Operations research letters
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ECONIS (ZBW)
33
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1
A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Annals of finance
4
(
2008
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
Saved in:
2
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, Robert J.
;
Siu, Tak Kuen
-
2010
Persistent link: https://www.econbiz.de/10003964890
Saved in:
3
Option pricing when the regime-switching risk is priced
Siu, Tak Kuen
;
Yang, Hailiang
;
Lau, John W.
-
2007
Persistent link: https://www.econbiz.de/10003647140
Saved in:
4
A hidden Markov regime-switching model for option valuation
Liew, Chuin Ching
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
47
(
2010
)
3
,
pp. 374-384
Persistent link: https://www.econbiz.de/10008747009
Saved in:
5
Pricing risky debts under a Markov-modudated Merton model with completely random measures
Lau, John W.
;
Siu, Tak Kuen
- In:
Computational economics
31
(
2008
)
3
,
pp. 255-288
Persistent link: https://www.econbiz.de/10003691910
Saved in:
6
Option pricing for GARCH models with Markov switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
Saved in:
7
Risk measures for derivatives with Markov-modulated pure jump processes
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
Asia-Pacific financial markets
13
(
2006
)
2
,
pp. 129-149
Persistent link: https://www.econbiz.de/10003496776
Saved in:
8
Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Applied mathematical finance
14
(
2007
)
1
,
pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
Saved in:
9
On pricing and hedging options in regime-switching models with feedback effect
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alexandru
- In:
Journal of economic dynamics & control
35
(
2011
)
5
,
pp. 694-713
Persistent link: https://www.econbiz.de/10009240566
Saved in:
10
Pricing annuity guarantees under a double regime-switching model
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011312087
Saved in:
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