Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model (Q2015643): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2013.09.016
+Normal rank
@@ Property / OpenAlex ID @@
+W2087875659
@@ Property / OpenAlex ID: W2087875659 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of an Equilibrium for a Competitive Economy
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing exotic options under regime switching
@@ Property / cites work: Pricing exotic options under regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+Aggregation, efficiency and mutual fund separation in incomplete markets
+Normal rank
@@ Property / cites work @@
+Q3969647
@@ Property / cites work: Q3969647 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
+Normal rank
@@ Property / cites work @@
+Equilibrium approach of asset pricing under Lévy process
+Normal rank
@@ Property / cites work @@
+A Markov model for switching regressions
@@ Property / cites work: A Markov model for switching regressions / rank @@
+Normal rank
@@ Property / cites work @@
+Information and option pricings
@@ Property / cites work: Information and option pricings / rank @@
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+A stochastic calculus model of continuous trading: Complete markets
+Normal rank
@@ Property / cites work @@
+Risk minimizing portfolios and HJBI equations for stochastic differential games
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Investment-consumption with regime-switching discount rates
+Normal rank
@@ Property / cites work @@
+The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
+Normal rank
@@ Property / cites work @@
+Fair valuation of participating policies with surrender options and regime switching
+Normal rank
@@ Property / cites work @@
+A game theoretic approach to option valuation under Markovian regime-switching models
+Normal rank
@@ Property / cites work @@
+Regime-switching risk: to price or not to price?
@@ Property / cites work: Regime-switching risk: to price or not to price? / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when the regime-switching risk is priced
+Normal rank
@@ Property / cites work @@
+Threshold models in non-linear time series analysis
+Normal rank
@@ Property / cites work @@
+Option pricing with regime switching by trinomial tree method
+Normal rank
@@ Property / cites work @@
+EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION
+Normal rank