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Issue Date
Title
Author(s)
2005
Option pricing and Esscher transform under regime switching
Elliott, R.
;
Chan, L.
;
Siu, T.
2013
Option pricing and filtering with hidden Markov-Modulated pure-jump processes
Elliott, R.
;
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.
2002
American options with regime switching
Buffington, J.
;
Elliott, R.
Discover
Author
3
Siu, T.
1
Badescu, A.
1
Buffington, J.
1
Chan, L.
1
Kulperger, R.
1
Miettinen, J.
Subject
3
Esscher transform
1
Black-Scholes equation.
1
extended Girsanov principle
1
free boundary problem
1
Generalized Hyperbolic GARCH
1
Hidden Markov chain model
1
hidden Markov-modulated pure-jump...
1
integral representation
1
Laplace cumulant process
1
mean correcting martingale measure
.
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Date issued
2
2010 - 2013
2
2002 - 2009