On a Markov chain approximation method for option pricing with regime switching (Q747024): Difference between revisions

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-.3934/jimo.2016.12.529
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+Pricing exotic options under regime switching
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+Markov chains. Models, algorithms and applications
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+American option pricing under GARCH by a Markov chain approximation
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+Option pricing and Esscher transform under regime switching
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+On pricing and hedging options in regime-switching models with feedback effect
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+Characteristic functions and option valuation in a Markov chain market
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+A Note on Differentiability in a Markov Chain Market Using Stochastic Flows
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+Pricing annuity guarantees under a double regime-switching model
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+A Markov model for switching regressions
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+Option pricing in a regime-switching model using the fast Fourier transform
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+The Markov Chain Market
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+The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
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+Regime-switching risk: to price or not to price?
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+Integration by parts and martingale representation for a Markov chain
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+Threshold models in non-linear time series analysis
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+American option prices in a Markov chain market model
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+Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
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+Option pricing with regime switching by trinomial tree method
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+.3934/JIMO.2016.12.529
@@ Property / DOI: 10.3934/JIMO.2016.12.529 / rank @@
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