Pages that link to "Item:Q633323"

The following pages link to On pricing and hedging options in regime-switching models with feedback effect (Q633323):

Displaying 29 items.

• On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
• A self-exciting threshold jump-diffusion model for option valuation (Q343990) (← links)
• Regime-switching risk: to price or not to price? (Q655231) (← links)
• On a Markov chain approximation method for option pricing with regime switching (Q747024) (← links)
• On the price of risk under a regime switching CGMY process (Q1627726) (← links)
• Market-making strategy with asymmetric information and regime-switching (Q1657343) (← links)
• Valuation and hedging strategy of currency options under regime-switching jump-diffusion model (Q1690559) (← links)
• Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228) (← links)
• Detecting stock market regimes from option prices (Q2157892) (← links)
• The maximum principle for stochastic control problem with Markov chain in progressive structure (Q2169795) (← links)
• Pricing annuity guarantees under a double regime-switching model (Q2347059) (← links)
• What is beneath the surface? Option pricing with multifrequency latent states (Q2347726) (← links)
• Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model (Q2356875) (← links)
• Option pricing under regime-switching models: novel approaches removing path-dependence (Q2421406) (← links)
• A lattice method for option pricing with two underlying assets in the regime-switching model (Q2448349) (← links)
• Hidden Markov models with threshold effects and their applications to oil price forecasting (Q2628183) (← links)
• REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING (Q2968279) (← links)
• Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models (Q2979963) (← links)
• OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL (Q4563743) (← links)
• ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET (Q4909140) (← links)
• Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model (Q4981886) (← links)
• A Note on Differentiability in a Markov Chain Market Using Stochastic Flows (Q4981997) (← links)
• A generalized Esscher transform for option valuation with regime switching risk (Q5079361) (← links)
• Stochastic Flows and Jump-Diffusions (Q5139203) (← links)
• HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS (Q5210919) (← links)
• A FINANCIAL MARKET OF A STOCHASTIC DELAY EQUATION (Q5242401) (← links)
• A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain (Q6138488) (← links)
• Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching (Q6556594) (← links)
• Empirical study on option pricing under Markov regime switching economics (Q6662492) (← links)