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Issue Date
Title
Author(s)
2006
Option pricing for GARCH models with Markov switching
Elliott, R.
;
Siu, T.
;
Chan, L.
2005
Option pricing and Esscher transform under regime switching
Elliott, R.
;
Chan, L.
;
Siu, T.
2003
Perpetual American options with fractional Brownian motion
Elliott, R.
;
Chan, L.
Discover
Author
2
Siu, T.
Subject
1
analytical option valuation.
1
Esscher transform
1
Hidden Markov chain model
1
Markov switching conditional Essc...
1
Markov switching Heston-Nandi’s G...
1
MEMM
1
Option pricing
1
recursive formula
1
Regime switching
Date issued
1
2006
1
2005
1
2003