Pages that link to "Item:Q665552"
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The following pages link to Option pricing and Esscher transform under regime switching (Q665552):
Displaying 50 items.
- Real options approach for fashionable and perishable products using stock loan with regime switching (Q1699173) (← links)
- Explicit pricing formulas for European option with asset exposed to double defaults risk (Q1727278) (← links)
- Pricing vulnerable options with market prices of common jump risks under regime-switching models (Q1727291) (← links)
- Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint (Q1740034) (← links)
- Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk (Q1934414) (← links)
- Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model (Q1934584) (← links)
- Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions (Q1955374) (← links)
- An optimal stochastic control framework for determining the cost of hedging of variable annuities (Q1994570) (← links)
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (Q1998282) (← links)
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model (Q1999691) (← links)
- A switching self-exciting jump diffusion process for stock prices (Q2000696) (← links)
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (Q2006622) (← links)
- Asset pricing using trading volumes in a hidden regime-switching environment (Q2013295) (← links)
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach (Q2015638) (← links)
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model (Q2015643) (← links)
- An explicit analytic formula for pricing barrier options with regime switching (Q2018548) (← links)
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
- Structural pricing of CoCos and deposit insurance with regime switching and jumps (Q2036863) (← links)
- Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model (Q2037761) (← links)
- Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228) (← links)
- Pricing vulnerable options with jump risk and liquidity risk (Q2059298) (← links)
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
- Valuation of annuity guarantees under a self-exciting switching jump model (Q2152249) (← links)
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method (Q2155842) (← links)
- Stable reconstruction of the volatility in a regime-switching local-volatility model (Q2175621) (← links)
- A new simple tree approach for the Heston's stochastic volatility model (Q2203258) (← links)
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level (Q2244233) (← links)
- First-passage times of regime switching models (Q2251701) (← links)
- A contagion model with Markov regime-switching intensities (Q2258911) (← links)
- Analytical pricing of vulnerable options under a generalized jump-diffusion model (Q2260941) (← links)
- Zero covariation returns (Q2296115) (← links)
- On barrier option pricing by Erlangization in a regime-switching model with jumps (Q2297114) (← links)
- Kac-Lévy processes (Q2297322) (← links)
- A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes (Q2315924) (← links)
- Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model (Q2343569) (← links)
- Pricing annuity guarantees under a double regime-switching model (Q2347059) (← links)
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model (Q2356875) (← links)
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps (Q2389225) (← links)
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (Q2397852) (← links)
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market (Q2398579) (← links)
- Option pricing under regime-switching models: novel approaches removing path-dependence (Q2421406) (← links)
- Optimal insurance in a changing economy (Q2438339) (← links)
- Constant proportion portfolio insurance under a regime switching exponential Lévy process (Q2443230) (← links)
- On the default probability in a regime-switching regulated market (Q2445481) (← links)
- On a reduced form credit risk model with common shock and regime switching (Q2447411) (← links)
- A lattice method for option pricing with two underlying assets in the regime-switching model (Q2448349) (← links)
- Pricing currency derivatives with Markov-modulated Lévy dynamics (Q2513442) (← links)
- Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model (Q2514669) (← links)
- Optimal hedging when the underlying asset follows a regime-switching Markov process (Q2514833) (← links)
