Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (Q3592749): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1080/07362990701420118 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2084206021 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the fundamental theorem of asset pricing with an infinite state space / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized Gamma measures and shot-noise Cox processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general version of the fundamental theorem of asset pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing for pure jump processes with Markov switching compensators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing and Esscher transform under regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and stochastic integrals in the theory of continuous trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic calculus model of continuous trading: Complete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian Poisson process partition calculus with an application to Bayesian Lévy moving averages / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new algorithm to generate beta processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: “On the Time Value of Ruin”, Hans U. Gerber and Elias S.W. Shiu, January 1998 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation pricing and the variance-optimal martingale measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: An application of hidden Markov models to asset allocation problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mathematics of financial markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust parameter estimation for asset price models with Markov modulated volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Size-biased sampling of Poisson point processes and excursions / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 09:09, 27 June 2024

scientific article
Language Label Description Also known as
English
Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
scientific article

    Statements

    Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    21 September 2007
    0 references
    American options
    0 references
    completely random measures
    0 references
    Esscher transform
    0 references
    European options
    0 references
    generalized gamma process
    0 references
    jump-diffusion
    0 references
    option pricing
    0 references
    regime switching
    0 references

    Identifiers