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On the stability of jump-diffusions with Markovian switching
5 references·1 citing·25 second hop
On the stability of jump-diffusions with Markovian switching (2007)On the stability of jump-diffusions with …Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach (2002)Recursive Algorithms for Stoc…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …Mean-Variance Hedging of Options on Stocks with Markov Volatilities (1995)Mean-Variance Hedging of Opti…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equat…On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes (2017)On Feller and Strong Feller P…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)Option pricing and Esscher transform under regime switching (2005)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Theory of Martingales (1989)Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates (2004)A Regime-Switching Model for European Options (2006)Pricing exotic options under regime switching (2006)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Option pricing when underlying stock returns are discontinuous (1976)Optimal selling rules in a regime switching model (2005)Option pricing in a regime‐switching model using the fast Fourier transform (2006)Trading a mean-reverting asset: Buy low and sell high (2008)On the uniqueness of solutions of stochastic differential equations (1971)Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space (2015)Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions (2018)Pricing foreign currency options under stochastic interest rates (1991)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)
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References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1981Stochastic Differential Equations and Diffusion Processes597 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 1995Mean-Variance Hedging of Options on Stocks with Markov Volatilities196 cited
  • 2002Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach119 cited

Cited by

  • 2017On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes48 cited

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