Pages that link to "Item:Q665552"

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

Displaying 50 items.

• Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing (Q4585900) (← links)
• PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES (Q4608943) (← links)
• Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model (Q4609030) (← links)
• The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system (Q4622808) (← links)
• Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps (Q4627095) (← links)
• Pricing derivatives in a regime switching market with time inhomogenous volatility (Q4685700) (← links)
• Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes (Q4903222) (← links)
• ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET (Q4909140) (← links)
• Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration (Q4971976) (← links)
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion (Q5001154) (← links)
• The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model (Q5022522) (← links)
• Pricing Annuity Guarantees Under a Regime-Switching Model (Q5029071) (← links)
• “Pricing Annuity Guarantees Under a Regime-Switching Model”, X. Sheldon Lin, Ken Seng Tan and Hailiang Yang, July 2009 (Q5029072) (← links)
• Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model (Q5071661) (← links)
• Option pricing based on a regime switching dividend process (Q5078079) (← links)
• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier (Q5078105) (← links)
• Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models (Q5078514) (← links)
• Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models (Q5079360) (← links)
• A generalized Esscher transform for option valuation with regime switching risk (Q5079361) (← links)
• Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model (Q5086465) (← links)
• Dynamic programming for semi-Markov modulated SDEs (Q5093684) (← links)
• HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS (Q5210919) (← links)
• An intensity model for credit risk with switching Lévy processes (Q5245904) (← links)
• RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING (Q5249751) (← links)
• A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL (Q5265237) (← links)
• Option Pricing with Threshold Diffusion Processes (Q5379177) (← links)
• An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model (Q5379186) (← links)
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (Q5397411) (← links)
• On pricing basket credit default swaps (Q5400652) (← links)
• PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS (Q5416703) (← links)
• CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS (Q5420702) (← links)
• OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING (Q5487827) (← links)
• Hedging of contingent claims written on non traded assets under Markov-modulated models (Q5739175) (← links)
• Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models (Q5742633) (← links)
• FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (Q5745191) (← links)
• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS (Q5746930) (← links)
• A high order finite element scheme for pricing options under regime switching jump diffusion processes (Q5964596) (← links)
• A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model (Q6040400) (← links)
• Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market (Q6089610) (← links)
• Option pricing under a Markov-modulated Merton jump-diffusion dividend (Q6107581) (← links)
• An efficient algorithm for pricing reinsurance contract under the regime-switching model (Q6108199) (← links)
• Partial information maximum principle for optimal control problem with regime switching in the conditional mean-field model (Q6112111) (← links)
• European option pricing with market frictions, regime switches and model uncertainty (Q6152695) (← links)
• Iterative weak approximation and hard bounds for switching diffusion (Q6161601) (← links)
• Pricing and hedging for correlation options with regime switching and common jump risk (Q6164724) (← links)
• Mean field control and finite agent approximation for regime-switching jump diffusions (Q6166349) (← links)
• Randomization and the valuation of guaranteed minimum death benefits (Q6167872) (← links)
• Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment (Q6170028) (← links)
• PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING (Q6182056) (← links)
• Option pricing with exchange rate risk under regime-switching multi-scale jump-diffusion models (Q6541088) (← links)