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Authors: Siu, Tak Kuen
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1138271
Description: A self-exciting threshold jump-diffusion model for option valuation is studied. This model can incorporate regime switches without introducing an exogenous stochastic factor process. A generalized ver ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230866
Description: This paper introduces a discrete-time self-exciting threshold binomial model to price derivative securities. The key idea is to incorporate the regime switching effect in a discrete-time binomial mode ... More
Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/137367
Description: In this paper, we consider a game theoretic approach to option valuation under Markovian regime-switching models, namely, a Markovian regime-switching geometric Brownian motion (GBM) and a Markovian r ... More
Reviewed: Reviewed
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