OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR (Q5420701): Difference between revisions

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+The Pricing of Options and Corporate Liabilities
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+PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS
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+Equity with Markov-modulated dividends
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+Robust optimal portfolio choice under Markovian regime-switching model
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+Econometric specification of stochastic discount factor models
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+Martingales and arbitrage in multiperiod securities markets
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+A Markov regime-switching marked point process for short-rate analysis with credit risk
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+Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
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