Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps-Reference-Cited by-同舟云学术

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Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps

Published:2003 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Chourdakis Kyriakos

Publisher

Elsevier BV

Reference49 articles.

1. Telling from discrete data whether the underlying continuous-time model is a diffusion;A�?ta�?t-Sahalia;The Journal of Finance,2002

2. Spanning and derivative-security valuation;G Bakshi;Journal of Financial Economics,2000

3. Testing Option Pricing Models

4. Post-'87 Crash Fears in S&P 500 Futures Options

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models;Annals of Finance;2020-06-04

2. Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing;Modeling, Stochastic Control, Optimization, and Applications;2019

3. Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing;SSRN Electronic Journal;2019

4. A General Framework for Time-Changed Markov Processes and Applications;SSRN Electronic Journal;2018

5. A radial basis collocation method for pricing American options under regime-switching jump-diffusion models;Applied Numerical Mathematics;2013-03

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