Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model (Q3064081): Difference between revisions

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+AMERICAN OPTIONS WITH REGIME SWITCHING
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+Normal rank
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+On Esscher Transforms in Discrete Finance Models
@@ Property / cites work: On Esscher Transforms in Discrete Finance Models / rank @@
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+Valuation of vulnerable American options with correlated credit risk
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+A general version of the fundamental theorem of asset pricing
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+Option pricing and Esscher transform under regime switching
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+Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
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+Martingales and stochastic integrals in the theory of continuous trading
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+A stochastic calculus model of continuous trading: Complete markets
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+The credit risk and pricing of OTC options
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+Option pricing when underlying stock returns are discontinuous
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+Pricing currency options under two-factor Markov-modulated stochastic volatility models
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