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Optimal hedging when the underlying asset follows a regime-switching Markov process
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Optimal hedging when the underlying asset follows a regime-switching Markov process (2014)Optimal hedging when the underlying asset…A Markov regime switching approach for hedging energy commodities (2008)A Markov regime switching app…Hedging with Options in Models with Jumps (2007)Hedging with Options in Model…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…A Markov regime switching approach for hedging stock indices (2004)A Markov regime switching app…Option pricing under regime switching (2002)Option pricing under regime s…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …A Regime-Switching Model of Long-Term Stock Returns (2001)A Regime-Switching Model of L…Efficient hedging: Cost versus shortfall risk (2000)Efficient hedging: Cost versu…Quantile hedging (1999)Quantile hedgingValuing Options in Regime-Switching Models (1998)Valuing Options in Regime-Swi…On the range of options prices (1997)On the range of options pricesVariance-Optimal Hedging in Discrete Time (1995)Variance-Optimal Hedging in D…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELDynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Option hedging for semimartingales (1991)Option hedging for semimartin…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…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)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Coherent Measures of Risk (1999)Actuarial versus Financial Pricing of Insurance (2000)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Variance-optimal hedging for processes with stationary independent increments (2006)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Martingales and arbitrage in multiperiod securities markets (1979)Adapted solution of a backward stochastic differential equation (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Monte Carlo methods for security pricing (1997)A Closed-Form GARCH Option Valuation Model (2000)Stochastic Volatility for Lévy Processes (2003)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)Calcul Stochastique et Problèmes de Martingales (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Mean-Variance Hedging for General Claims (1992)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)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)Hedging of contingent claims under incomplete information (1990)Approximation pricing and the variance-optimal martingale measure (1996)The Variance-Optimal Martingale Measure for Continuous Processes (1996)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Investment guarantees : modeling and risk management for equity-linked life insurance (2003)Online portfolio selection (2014)Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates (2004)Satisficing Measures for Analysis of Risky Positions (2008)PORTFOLIO CHOICE VIA QUANTILES (2010)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 2001A Regime-Switching Model of Long-Term Stock Returns436 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 1991Option hedging for semimartingales379 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited
  • 2000Efficient hedging: Cost versus shortfall risk308 cited
  • 1999Quantile hedging294 cited
  • 1998Valuing Options in Regime-Switching Models231 cited
  • 2008A Markov regime switching approach for hedging energy commodities203 cited
  • 1997On the range of options prices149 cited
  • 2002Option pricing under regime switching122 cited
  • 2004A Markov regime switching approach for hedging stock indices115 cited
  • 2007Hedging with Options in Models with Jumps96 cited

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