Pages that link to "Item:Q665552"

The following pages link to Option pricing and Esscher transform under regime switching (Q665552):

Displaying 50 items.

• Optimal hedging when the underlying asset follows a regime-switching Markov process (Q2514833) (← links)
• Pricing currency options under two-factor Markov-modulated stochastic volatility models (Q2518532) (← links)
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model (Q2518552) (← links)
• Convergence of estimated option price in a regime switching market (Q2520133) (← links)
• Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality (Q2520456) (← links)
• Hidden Markov models with threshold effects and their applications to oil price forecasting (Q2628183) (← links)
• Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors (Q2633877) (← links)
• Risk measures for derivatives with Markov-modulated pure jump processes (Q2643673) (← links)
• Option pricing with regime switching by trinomial tree method (Q2654191) (← links)
• Variance swap pricing under Markov-modulated jump-diffusion model (Q2657462) (← links)
• Markov chain approximation and measure change for time-inhomogeneous stochastic processes (Q2662572) (← links)
• Conditional coherent risk measures and regime-switching conic pricing (Q2671647) (← links)
• Feynman–Kac formulas for regime-switching jump diffusions and their applications (Q2804019) (← links)
• Pricing American options under multi-state regime switching with an efficient<i>L</i>- stable method (Q2804504) (← links)
• A tree approach to options pricing under regime-switching jump diffusion models (Q2804506) (← links)
• Optimal stopping of switching diffusions with state dependent switching rates (Q2804561) (← links)
• Lévy Processes with Two-Sided Reflection (Q2807248) (← links)
• A system of non-local parabolic PDE and application to option pricing (Q2821911) (← links)
• Real options with priced regime-switching risk (Q2853377) (← links)
• A risk-based approach for pricing American options under a generalized Markov regime-switching model (Q2866377) (← links)
• Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model (Q2879033) (← links)
• Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model (Q2889601) (← links)
• Valuing power options under a regime-switching model (Q2923508) (← links)
• LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL (Q2947346) (← links)
• Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models (Q2979963) (← links)
• Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model (Q3064081) (← links)
• Martingale Representation and Admissible Portfolio Process with Regime Switching (Q3081441) (← links)
• Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method (Q3088977) (← links)
• GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (Q3100753) (← links)
• A stochastic differential game for optimal investment of an insurer with regime switching (Q3169215) (← links)
• A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type (Q3174750) (← links)
• Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes (Q3176516) (← links)
• Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models (Q3185983) (← links)
• Perpetual American vanilla option pricing under single regime change risk: an exhaustive study (Q3301076) (← links)
• Two-factor Markov-modulated stochastic volatility models for option pricing (Q3307957) (← links)
• The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework (Q3385434) (← links)
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (Q3445890) (← links)
• Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model (Q3462361) (← links)
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (Q3592749) (← links)
• Double barrier option under regime-switching exponential mean-reverting process (Q3636733) (← links)
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING (Q3637884) (← links)
• Option Pricing in a Jump-Diffusion Model with Regime Switching (Q3653509) (← links)
• Analytic value function for optimal regime-switching pairs trading rules (Q4554446) (← links)
• COS method for option pricing under a regime-switching model with time-changed Lévy processes (Q4554448) (← links)
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
• A new method for option pricing via time-fractional PDE (Q4556420) (← links)
• Hedging Costs for Variable Annuities Under Regime-Switching (Q4562479) (← links)
• A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing (Q4562481) (← links)
• An Exact Formula for Pricing American Exchange Options with Regime Switching (Q4562482) (← links)
• LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK (Q4562946) (← links)