Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales (Q2423287): Difference between revisions

@@ 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 @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
@@ Property / cites work: FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing under regime-switching jump-diffusion models
+Normal rank
@@ Property / cites work @@
+Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
+Normal rank
@@ Property / cites work @@
+Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
+Normal rank
@@ Property / cites work @@
+Asset pricing using trading volumes in a hidden regime-switching environment
+Normal rank
@@ Property / cites work @@
+Analytical pricing of vulnerable options under a generalized jump-diffusion model
+Normal rank
@@ Property / cites work @@
+Q5409246
@@ Property / cites work: Q5409246 / rank @@
+Normal rank
@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
+Normal rank
@@ Property / cites work @@
+Closed-Form Solutions for Perpetual American Put Options with Regime Switching
+Normal rank
@@ Property / cites work @@
+Dirichlet forms and white noise analysis
@@ Property / cites work: Dirichlet forms and white noise analysis / rank @@
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+A hidden Markov regime-switching model for option valuation
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
+Normal rank
@@ Property / cites work @@
+PDE and martingale methods in option pricing.
@@ Property / cites work: PDE and martingale methods in option pricing. / rank @@
+Normal rank
@@ Property / cites work @@
+Occupation times for two state Markov chains
@@ Property / cites work: Occupation times for two state Markov chains / rank @@
+Normal rank
@@ Property / cites work @@
+Occupation times in markov processes
@@ Property / cites work: Occupation times in markov processes / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
+Normal rank
@@ Property / cites work @@
+Pricing participating products under a generalized jump-diffusion model
+Normal rank
@@ Property / cites work @@
+A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching
+Normal rank
@@ Property / cites work @@
+A stochastic flows approach for asset allocation with hidden economic environment
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options under a stochastic volatility model
+Normal rank