Pages that link to "Item:Q665552"
From MaRDI portal
The following pages link to Option pricing and Esscher transform under regime switching (Q665552):
Displaying 50 items.
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
- A Markov copula model with regime switching and its application (Q272813) (← links)
- A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
- Saddlepoint approximations to option price in a regime-switching model (Q300691) (← links)
- On a multi-dimensional risk model with regime switching (Q320264) (← links)
- Option pricing under jump-diffusion processes with regime switching (Q340129) (← links)
- A self-exciting threshold jump-diffusion model for option valuation (Q343990) (← links)
- Maximum principle for optimal control problems of forward-backward regime-switching system and applications (Q360666) (← links)
- Pricing options with credit risk in Markovian regime-switching markets (Q364454) (← links)
- Perpetual American maximum options with Markov-modulated dynamics (Q392759) (← links)
- Dynamic programming for a Markov-switching jump-diffusion (Q396027) (← links)
- The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model (Q431920) (← links)
- Option pricing and hedging under a stochastic volatility Lévy process model (Q437103) (← links)
- Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility (Q451153) (← links)
- Investment-consumption with regime-switching discount rates (Q459181) (← links)
- Option valuation by a self-exciting threshold binomial model (Q462735) (← links)
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model (Q470671) (← links)
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process (Q470735) (← links)
- Bilateral counterparty risk valuation on a CDS with a common shock model (Q479176) (← links)
- A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process'' (Q479189) (← links)
- Cliquet-style return guarantees in a regime switching Lévy model (Q506080) (← links)
- Multivariate European option pricing in a Markov-modulated Lévy framework (Q507979) (← links)
- On pricing and hedging options in regime-switching models with feedback effect (Q633323) (← links)
- Exponential change of measure applied to term structures of interest rates and exchange rates (Q634008) (← links)
- An analytic valuation method for multivariate contingent claims with regime-switching volatilities (Q635506) (← links)
- Utility-based indifference pricing in regime-switching models (Q640157) (← links)
- Valuing variable annuity guarantees with the multivariate Esscher transform (Q654817) (← links)
- Regime-switching risk: to price or not to price? (Q655231) (← links)
- A Markov-modulated model for stocks paying discrete dividends (Q659087) (← links)
- Esscher transforms and consumption-based models (Q659151) (← links)
- Markov-modulated jump-diffusions for currency option pricing (Q659253) (← links)
- A hidden Markov regime-switching model for option valuation (Q661263) (← links)
- A PDE approach for risk measures for derivatives with regime switching (Q665800) (← links)
- Efficiently pricing barrier options in a Markov-switching framework (Q708288) (← links)
- On a Markov chain approximation method for option pricing with regime switching (Q747024) (← links)
- Fair valuation of participating policies with surrender options and regime switching (Q817287) (← links)
- A game theoretic approach to option valuation under Markovian regime-switching models (Q931215) (← links)
- Pricing exotic options under a high-order Markovian regime switching model (Q933877) (← links)
- Pricing participating products under a generalized jump-diffusion model (Q936992) (← links)
- Optimal portfolios with regime switching and value-at-risk constraint (Q976262) (← links)
- A high-order Markov-switching model for risk measurement (Q980081) (← links)
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724) (← links)
- Option pricing when the regime-switching risk is priced (Q1036916) (← links)
- How do capital structure and economic regime affect fair prices of bank's equity and liabilities? (Q1615809) (← links)
- A path-independent method for barrier option pricing in hidden Markov models (Q1618828) (← links)
- Pricing exotic options in a regime switching economy: a Fourier transform method (Q1621619) (← links)
- On the price of risk under a regime switching CGMY process (Q1627726) (← links)
- Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching (Q1644065) (← links)
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model (Q1671736) (← links)
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model (Q1690559) (← links)
