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On pricing derivatives under nonlinear time series models

Type: Journal Paper

Author : Tak Kuen Siu; Hailiang Yang

Publisher: John Wiley and Sons

Year: 2007

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A stochastic differential game for optimal investment of an insurer with regime switching

Type: Journal Paper

Author : Robert J. Elliott; Tak Kuen Siu

Year: 2011

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A Note on Differentiability in a Markov Chain Market Using Stochastic Flows

Type: Journal Paper

Author : Robert J. Elliott; Tak Kuen Siu

Year: 2014

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Mean–variance portfolio selection under a constant elasticity of variance model

Type: Journal Paper

Author : Yang Shen; Xin Zhang; Tak Kuen Siu

Year: 2014

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A hidden Markov regime-switching model for option valuation

Type: Journal Paper

Author : Chuin Ching Liew; Tak Kuen Siu

Publisher: Elsevier Science

Year: 2010

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ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET

Type: Journal Paper

Author : ROBERT J. ELLIOTT; TAK KUEN SIU

Year: 2012

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An HMM approach for optimal investment of an insurer

Type: Journal Paper

Author : Robert J. Elliott; Tak Kuen Siu

Publisher: John Wiley and Sons

Year: 2012

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On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy

Type: Journal Paper

Author : Robert J. Elliott; Tak Kuen Siu

Publisher: Springer

Year: 2010

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Pricing foreign equity options with regime-switching

Type: Journal Paper

Author : Kun Fan; Yang Shen; Tak Kuen Siu; Rongming Wang

Year: 2014

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Pricing currency options under two-factor Markov-modulated stochastic volatility models

Type: Journal Paper

Author : Tak Kuen Siu; Hailiang Yang; John W. Lau

Publisher: Elsevier Science

Year: 2008

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On pricing derivatives under nonlinear time series models

A stochastic differential game for optimal investment of an insurer with regime switching

A Note on Differentiability in a Markov Chain Market Using Stochastic Flows

Mean–variance portfolio selection under a constant elasticity of variance model

A hidden Markov regime-switching model for option valuation

ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET

An HMM approach for optimal investment of an insurer

On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy

Pricing foreign equity options with regime-switching

Pricing currency options under two-factor Markov-modulated stochastic volatility models

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On pricing derivatives under nonlinear time series models

A stochastic differential game for optimal investment of an insurer with regime switching

A Note on Differentiability in a Markov Chain Market Using Stochastic Flows

Mean–variance portfolio selection under a constant elasticity of variance model

A hidden Markov regime-switching model for option valuation

ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET

An HMM approach for optimal investment of an insurer

On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy

Pricing foreign equity options with regime-switching

Pricing currency options under two-factor Markov-modulated stochastic volatility models