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Results 31-37 of 37 (Search time: 0.002 seconds).
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Issue Date
Title
Author(s)
2011
On pricing and hedging options in regime-switching models with feedback effect
Elliott, R.
;
Siu, T.
;
Badescu, A.
2012
Attainable contingent claims in a Markovian regime-switching market
Elliott, R.
;
Siu, T.
2016
Pricing options in a Markov regime switching model with a random acceleration for the volatility
Elliott, R.
;
Chan, L.
;
Siu, T.
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.
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Author
37
Elliott, R.
3
Badescu, A.
3
Chan, L.
2
Fung, E.
2
Lau, J.
2
Liew, C.
2
Yang, H.
2
Zhang, X.
1
Ching, W.
1
Cohen, S.
.
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Subject
3
Change of measures
3
Convex risk measure
3
Reference probability
2
Convex risk measures
2
Dynamic programming
2
EM algorithm
2
Esscher transform
2
Filtering
2
Hidden Markov chain
2
Hidden Markov models
.
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