Pages that link to "Item:Q3176516"

The following pages link to Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes (Q3176516):

Displaying 21 items.

• A self-exciting threshold jump-diffusion model for option valuation (Q343990) (← links)
• Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process (Q470735) (← links)
• How do capital structure and economic regime affect fair prices of bank's equity and liabilities? (Q1615809) (← links)
• Asset pricing using trading volumes in a hidden regime-switching environment (Q2013295) (← links)
• Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model (Q2015643) (← links)
• Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228) (← links)
• Pricing annuity guarantees under a double regime-switching model (Q2347059) (← 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)
• Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales (Q2423287) (← links)
• Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates (Q2424929) (← links)
• Lower and upper pricing of financial assets (Q2671660) (← links)
• Multi-criteria classification for pricing European options (Q2691648) (← links)
• A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing (Q4562481) (← links)
• Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy (Q5001195) (← links)
• A generalized Esscher transform for option valuation with regime switching risk (Q5079361) (← links)
• A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems (Q5159762) (← links)
• Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences (Q5162017) (← links)
• HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS (Q5210919) (← links)
• Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models (Q5256324) (← links)
• European option pricing with market frictions, regime switches and model uncertainty (Q6152695) (← links)