Exponential change of measure applied to term structures of interest rates and exchange rates (Q634008): Difference between revisions

@@ Property / author @@
-Li Jun Bo
@@ Property / author: Li Jun Bo / rank @@
-Normal rank
@@ Property / author @@
+Li Jun Bo
@@ Property / author: Li Jun Bo / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2011.04.004
+Normal rank
@@ Property / OpenAlex ID @@
+W2166839997
@@ Property / OpenAlex ID: W2166839997 / rank @@
+Normal rank
@@ Property / cites work @@
+Applied Probability and Queues
@@ Property / cites work: Applied Probability and Queues / rank @@
+Normal rank
@@ Property / cites work @@
+Markov-modulated jump-diffusions for currency option pricing
+Normal rank
@@ Property / cites work @@
+On Esscher Transforms in Discrete Finance Models
@@ Property / cites work: On Esscher Transforms in Discrete Finance Models / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Moment generating function approach to pricing interest rate and foreign exchange rate claims.
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
+Normal rank
@@ Property / cites work @@
+Actuarial bridges to dynamic hedging and option pricing
+Normal rank
@@ Property / cites work @@
+Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+Option Pricing With Markov-Modulated Dynamics
@@ Property / cites work: Option Pricing With Markov-Modulated Dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
+Normal rank
@@ Property / cites work @@
+Equity-linked life insurance: A model with stochastic interest rates
+Normal rank
@@ Property / cites work @@
+A technique for exponential change of measure for Markov processes
+Normal rank
@@ Property / cites work @@
+The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
+Normal rank
@@ Property / cites work @@
+Q4508926
@@ Property / cites work: Q4508926 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing currency options under two-factor Markov-modulated stochastic volatility models
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
+Normal rank