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Results 41-44 of 44 (Search time: 0.003 seconds).
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Issue Date
Title
Author(s)
2011
A comparison of pricing kernels for garch option pricing with generalized hyperbolic distributions
Badescu, A.
;
Elliott, R.
;
Kulperger, R.
;
Miettinen, J.
;
Siu, T.
2012
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
Zhang, X.
;
Elliott, R.
;
Siu, T.
2017
A Higher-order interactive hidden Markov model and its applications
Zhu, D.
;
Ching, W.
;
Elliott, R.
;
Siu, T.
;
Zhang, L.
2015
Asset pricing using trading volumes in a hidden regime-switching environment
Elliott, R.
;
Siu, T.
Discover
Author
4
Badescu, A.
4
Chan, L.
3
Yang, H.
2
Fung, E.
2
Lau, J.
2
Liew, C.
2
Zhang, X.
1
American Control Conference (2008...
1
Ching, W.
1
Cohen, S.
.
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Subject
5
Change of measures
4
Esscher transform
4
Stochastic differential game
3
Convex risk measure
3
Convex risk measures
3
Model uncertainty
3
Reference probability
3
Regime-switching HJB equation
2
Dynamic programming
2
EM algorithm
.
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Date issued
37
2010 - 2017
7
2003 - 2009