Macquarie University ResearchOnline
List View
Showing items 1 - 3 of 3.
Add to Quick Collection All 3 Results
| Title | Author/Creator | Date | Full Text | Reviewed | |
|---|---|---|---|---|---|
| A Comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions | Badescu, Alexandru; Elliott, Robert J; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen | 2011 | — | 
|
|
| On pricing and hedging options in regime-switching models with feedback effect | Elliott, Robert J; Siu, Tak Kuen; Badescu, Alexandru | 2011 | — |
|
|
| On mean-variance porfolio selection under a hidden Markovian regime-switching model | Elliott, Robert J; Siu, Tak Kuen; Badescu, Alexandru | 2010 | — |
|
Author/Creator
- Kulperger, Reg (1)
- Miettinen, Jarkko (1)
Subject Keyword
- EM algorithm (1)
- Esscher transform (1)
- Feedback effect (1)
- Generalized Hyperbolic GARCH (1)
- Local risk-minimization (1)
- Pricing and hedging (1)
- Product price kernel (1)
- Radon-Nikodym derivative (1)
- Regime-switching (1)
- Zakai's equation (1)
Copyright Macquarie University | Privacy Statement | Accessibility Information
ABN 90 952 801 237 | CRICOS Provider No 00002J