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Regime-Switching Risk: To Price or Not to Price?
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Regime-Switching Risk: To Price or Not to Price? (2011)Regime-Switching Risk: To Price or Not to…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …Information and option pricings (2001)Information and option pricin…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…No-arbitrage, change of measure and conditional Esscher transforms (1996)No-arbitrage, change of measu…Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns (1993)Option Valuation and Hedging …A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Stochastic Calculus and Applications. (1986)Stochastic Calculus and Appli…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and Stochastic Integrals in the Theory of Continous Trading (1981)Martingales and Stochastic In…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…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)The Pricing of Options and Corporate Liabilities (1973)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)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 asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Pricing the risks of default (1998)Arbitrage Theory in Continuous Time (1998)
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References

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  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 2001Information and option pricings273 cited
  • 1993Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns208 cited
  • 1981Martingales and Stochastic Integrals in the Theory of Continous Trading176 cited

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  • 1996No-arbitrage, change of measure and conditional Esscher transforms174 cited
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