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Results 101-110 of 116 (Search time: 0.003 seconds).
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Issue Date
Title
Author(s)
2012
Attainable contingent claims in a Markovian regime-switching market
Elliott, R.
;
Siu, T.
2014
Option pricing using a regime switching stochastic discount factor
Elliott, R.
;
Hamada, A.
2010
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
Cohen, S.
;
Elliott, R.
2010
A general comparison theorem for backward stochastic differential equations
Cohen, S.
;
Elliott, R.
;
Pearce, C.
2016
Pricing options in a Markov regime switching model with a random acceleration for the volatility
Elliott, R.
;
Chan, L.
;
Siu, T.
2011
Backward stochastic difference equations and nearly time-consistent nonlinear expectations
Cohen, S.
;
Elliott, R.
2004
Conditional moment generating functions for integrals and stochastic integrals
Charalambous, C.
;
Elliott, R.
;
Krishnamurthy, V.
2011
A comparison of pricing kernels for garch option pricing with generalized hyperbolic distributions
Badescu, A.
;
Elliott, R.
;
Kulperger, R.
;
Miettinen, J.
;
Siu, T.
2009
Investment timing under regime switching
Elliott, R.
;
Miao, H.
;
Yu, J.
2012
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
Zhang, X.
;
Elliott, R.
;
Siu, T.
Discover
Author
44
Siu, T.
9
Malcolm, W.
7
Cohen, S.
7
Van Der Hoek, J.
6
Badescu, A.
6
Deng, J.
6
Miao, H.
6
Sworder, D.
5
Boyd, J.
5
Hutchins, R.
.
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Subject
5
BSDE
5
Change of measures
5
EM algorithm
5
Reference probability
4
Comparison theorem
4
comparison theorem
4
Esscher transform
4
nonlinear expectation
4
Stochastic differential game
3
Backward stochastic differential ...
.
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Date issued
75
2010 - 2017
41
2001 - 2009