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Issue Date
Title
Author(s)
2006
Option pricing for GARCH models with Markov switching
Elliott, R.
;
Siu, T.
;
Chan, L.
2014
On pricing barrier options with regime switching
Elliott, R.
;
Siu, T.
;
Chan, L.
2015
A Dupire equation for a regime-switching model
Elliott, R.
;
Chan, L.
;
Siu, T.
2008
A PDE approach for risk measures for derivatives with regime switching
Elliott, R.
;
Siu, T.
;
Chan, L.
2005
Option pricing and Esscher transform under regime switching
Elliott, R.
;
Chan, L.
;
Siu, T.
2016
Pricing options in a Markov regime switching model with a random acceleration for the volatility
Elliott, R.
;
Chan, L.
;
Siu, T.
2003
Perpetual American options with fractional Brownian motion
Elliott, R.
;
Chan, L.
Discover
Author
6
Siu, T.
Subject
2
Esscher transform
1
American options
1
analytical option valuation.
1
Barrier option; Regime switching ...
1
Delta-neutral hedging
1
Exotic options
1
Hidden Markov chain model
1
Jump risk
1
Markov switching conditional Essc...
1
Markov switching Heston-Nandi’s G...
.
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Date issued
3
2010 - 2016
4
2003 - 2009