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Efficiently pricing barrier options in a Markov-switching framework
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Efficiently pricing barrier options in a Markov-switching framework (2010)Efficiently pricing barrier options in a …Regime switching models (2010)Regime switching modelsOption pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Empirical assessment of an intertemporal option pricing model with latent variables (2003)Empirical assessment of an in…Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options (2002)Using Brownian Bridge for Fas…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …Information and option pricings (2001)Information and option pricin…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Moments of Markov switching models (2000)Moments of Markov switching m…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Regime switching in stock market returns (1997)Regime switching in stock mar…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…A Continuity Correction for Discrete Barrier Options (1997)A Continuity Correction for D…VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1 (1995)VOLATILITY STRUCTURES OF FORW…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pricing American-style securities using simulation (1997)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Measuring Market Risk (2005)Efficient Analytic Approximation of American Option Values (1987)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007)Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model (2008)Real option valuation in renewable energy literature: Research focus, trends and design (2017)Connecting discrete and continuous path-dependent options (1999)Brownian Motion and Stochastic Calculus (2007)Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2007)Design of computer experiments: A review (2017)Autoregressive conditional heteroskedasticity and changes in regime (1994)A model of carbon price interactions with macroeconomic and energy dynamics (2011)Corporate bond default risk: A 150-year perspective (2011)Technical Guide for Latent GOLD 5.1: Basic, Advanced, and Syntax 1 (2016)An equilibrium characterization of the term structure (1977)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 1997A Continuity Correction for Discrete Barrier Options351 cited
  • 2010Regime switching models349 cited
  • 2000Moments of Markov switching models336 cited
  • 1997Regime switching in stock market returns335 cited
  • 2001Information and option pricings273 cited
  • 1995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1270 cited
  • 2003Empirical assessment of an intertemporal option pricing model with latent variables124 cited
  • 2002Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options

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