Pages that link to "Item:Q854276"

The following pages link to Option pricing for pure jump processes with Markov switching compensators (Q854276):

Displaying 50 items.

• On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
• Pricing options with credit risk in Markovian regime-switching markets (Q364454) (← links)
• The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model (Q431920) (← links)
• Multivariate European option pricing in a Markov-modulated Lévy framework (Q507979) (← links)
• Mixture dynamics and regime switching diffusions with application to option pricing (Q539521) (← links)
• Markov-modulated jump-diffusions for currency option pricing (Q659253) (← links)
• A game theoretic approach to option valuation under Markovian regime-switching models (Q931215) (← links)
• On option pricing under a completely random measure via a generalized Esscher transform (Q938038) (← links)
• Option pricing when the regime-switching risk is priced (Q1036916) (← links)
• On the price of risk under a regime switching CGMY process (Q1627726) (← links)
• A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (Q1651337) (← links)
• Valuation and hedging strategy of currency options under regime-switching jump-diffusion model (Q1690559) (← links)
• European option pricing with transaction costs in Lévy jump environment (Q1724293) (← links)
• Pricing vulnerable options with market prices of common jump risks under regime-switching models (Q1727291) (← links)
• An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models (Q2035502) (← links)
• Structural pricing of CoCos and deposit insurance with regime switching and jumps (Q2036863) (← links)
• Markov-modulated affine processes (Q2080289) (← links)
• Zero covariation returns (Q2296115) (← links)
• On barrier option pricing by Erlangization in a regime-switching model with jumps (Q2297114) (← links)
• Regime switching affine processes with applications to finance (Q2308173) (← links)
• Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market (Q2398579) (← links)
• On the default probability in a regime-switching regulated market (Q2445481) (← links)
• Jump telegraph processes and financial markets with memory (Q2478418) (← 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)
• Risk measures for derivatives with Markov-modulated pure jump processes (Q2643673) (← links)
• Variance swap pricing under Markov-modulated jump-diffusion model (Q2657462) (← links)
• Lower and upper pricing of financial assets (Q2671660) (← links)
• Valuing clustering in catastrophe derivatives (Q2879024) (← links)
• LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL (Q2947346) (← links)
• Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models (Q2979963) (← links)
• GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (Q3100753) (← links)
• FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714) (← links)
• Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes (Q3176516) (← links)
• Equity with Markov-modulated dividends (Q3182645) (← links)
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES (Q3225032) (← links)
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (Q3592749) (← links)
• COS method for option pricing under a regime-switching model with time-changed Lévy processes (Q4554448) (← links)
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
• Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing (Q4585900) (← links)
• Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps (Q4627095) (← links)
• A semi-martingale representation for a semi-Markov chain with application to finance (Q4686487) (← links)
• Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information (Q4968923) (← links)
• Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy (Q5001195) (← links)
• Efficient Parameter Sampling for Markov Jump Processes (Q5066413) (← links)
• Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models (Q5078514) (← links)
• Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model (Q5086465) (← links)
• Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes (Q5413858) (← links)
• OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR (Q5420701) (← links)
• A second-order ADI method for pricing options under fractional regime-switching models (Q6196447) (← links)