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Issue Date
Title
Author(s)
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.
2004
A deterministic discretisation-step upper bound for state estimation via Clark transformations
Malcolm, W.
;
Elliott, R.
;
Van Der Hoek, J.
2006
State and mode estimation for discrete-time jump Markov systems
Elliott, R.
;
Dufour, F.
;
Malcolm, W.
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.
2002
American options with regime switching
Buffington, J.
;
Elliott, R.
2006
A hidden Markov approach to the forward premium puzzle
Elliott, R.
;
Han, B.
Discover
Author
47
Siu, T.
21
Malcolm, W.
17
Van Der Hoek, J.
8
Cohen, S.
7
Chan, L.
7
Miao, H.
6
Badescu, A.
6
Deng, J.
6
Sworder, D.
5
Boyd, J.
.
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Subject
7
Reference probability
6
BSDE
6
EM algorithm
5
Change of measures
5
comparison theorem
5
Esscher transform
5
Filtering
5
nonlinear expectation
4
Comparison theorem
4
Option pricing
.
next >
Date issued
77
2010 - 2017
81
2000 - 2009
3
1998 - 1999