Related references
Note: Only part of the references are listed.Pricing resettable convertible bonds using an integral equation approach
Sha Lin et al.
IMA JOURNAL OF MANAGEMENT MATHEMATICS (2020)
A Mellin transform approach to barrier option pricing
Chiara Guardasoni et al.
IMA JOURNAL OF MANAGEMENT MATHEMATICS (2020)
On full calibration of hybrid local volatility and regime-switching models
Xin-Jiang He et al.
JOURNAL OF FUTURES MARKETS (2018)
How should a local regime-switching model be calibrated?
Xin-Jiang He et al.
JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2017)
Pricing European options with stochastic volatility under the minimal entropy martingale measure
Xin-Jiang He et al.
EUROPEAN JOURNAL OF APPLIED MATHEMATICS (2016)
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
Xin-Jiang He et al.
JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2016)
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
Robert J. Elliott et al.
QUANTITATIVE FINANCE (2013)
Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
Rehez Ahlip et al.
QUANTITATIVE FINANCE (2013)
Extension of stochastic volatility equity models with the Hull-White interest rate process
Lech A. Grzelak et al.
QUANTITATIVE FINANCE (2012)
Regime-switching stochastic volatility: Evidence from the crude oil market
Minh T. Vo
ENERGY ECONOMICS (2009)
Which GARCH model for option valuation?
P Christoffersen et al.
MANAGEMENT SCIENCE (2004)
Pricing options using implied trees: Evidence from FTSE-100 options
KG Lim et al.
JOURNAL OF FUTURES MARKETS (2002)
Transform analysis and asset pricing for affine jump-diffusions
D Duffie et al.
ECONOMETRICA (2000)
Share Paper
