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在“Elsevier电子期刊”中，命中：342条，耗时：0.0589737 秒

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1.A superconvergent partial differential equation approach to price variance swaps under regime switching models

作者：Mehzabeen Jumanah Dilloo ; Dé ; siré ; Yannick Tangman ; ^{y.tangman@uom.ac.mu}

关键词：35G61 ; 91B25 ; 65M06

刊名：Journal of Computational and Applied Mathematics

出版年：2017

2.Stock index hedging using a trend and volatility regime-switching model involving hedging cost

作者：EnDer Su ; ^{suender@ccms.nkfust.edu.tw}

关键词：Stock index ; Regime switch ; White reality test ; Hedging ratio ; Hedge cost

刊名：International Review of Economics & Finance

出版年：2017

3.Cliquet-style return guarantees in a regime switching Lévy model

作者：Peter Hieber ^{peter.hieber@uni-ulm.de}

关键词：G13 ; G22

刊名：Insurance: Mathematics and Economics

出版年：2017

4.A new approach to model regime switching

作者：Yoosoon Chang^a ; Yongok Choi^b ; Joon Y. Park^a ; ^c ; ^{joon@indiana.edu" class="auth_mail" title="E-mail the corresponding author}

关键词：C13 ; C32

刊名：Journal of Econometrics

出版年：2017

5.Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends

作者：Jingtang Ma ; ^{mjt@swufe.edu.cn" class="auth_mail" title="E-mail the corresponding author} ; Jiacheng Fan ^{41226011@2012.swufe.edu.cn" class="auth_mail" title="E-mail the corresponding author}

关键词：Option pricing ; Known cash dividends ; Binomial trees ; Convergence rates ; Regime-switching models

刊名：The North American Journal of Economics and Finance

出版年：2016

6.Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models

作者：Duy-Minh Dang^a ; ^{duyminh.dang@uq.edu.au" class="auth_mail" title="E-mail the corresponding author} ; Duy Nguyen^b ; ^{d.nguyen@mcla.edu" class="auth_mail" title="E-mail the corresponding author} ; Granville Sewell^c ; ^{sewell@utep.edu" class="auth_mail" title="E-mail the corresponding author}

关键词：Asian options ; Regime-switching ; Jump&ndash ; diffusion ; System of partial integro-differential equations ; Parallel computing

刊名：Computers & Mathematics with Applications

出版年：2016

7.Markov regime-switching quantile regression models and financial contagion detection

作者：Wuyi Ye^a ; Yangguang Zhu^a ; ^{yanggzhu@mail.ustc.edu.cn" class="auth_mail" title="E-mail the corresponding author} ; Yuehua Wu^b ; Baiqi Miao^a

关键词：Risk analysis ; Financial contagion ; Markov regime-switching ; Quantile regression ; Laplace distribution

刊名：Insurance: Mathematics and Economics

出版年：2016

8.Constrained investment-reinsurance optimization with regime switching under variance premium principle

作者：Lv Chen^a ; ^{chenlvhero@sina.com} ; Linyi Qian^a ; ^{lyqian@stat.ecnu.edu.cn} ; Yang Shen^b ; ^{skyshen87@gmail.com} ; Wei Wang^c ; ^{wswang2008@163.com}

关键词：Investment ; Reinsurance ; Regime switching ; Variance premium principle ; Hamilton&ndash ; Jacobi&ndash ; Bellman equation

刊名：Insurance: Mathematics and Economics

出版年：2016

9.Forecasting crude oil market volatility: A Markov switching multifractal volatility approach

作者：Yudong Wang^a ; ^{wangyudongnj@126.com" class="auth_mail" title="E-mail the corresponding author} ; Chongfeng Wu^b ; ^{cfwu@sjtu.edu.cn" class="auth_mail" title="E-mail the corresponding author} ; Li Yang^c ; ^{l.yang@unsw.edu.au" class="auth_mail" title="E-mail the corresponding author}

关键词：Markov switching multifractal (MSM) models ; Volatility ; Crude oil markets ; GARCH-class models ; Model confidence set

刊名：International Journal of Forecasting

出版年：2016

10.Variations in energy use and output growth dynamics: An assessment for intertemporal and contemporaneous relationship

作者：Abdul Rashid^a ; ^{abdulrashid@iiu.edu.pk" class="auth_mail" title="E-mail the corresponding author} ; Ӧzge Kandemir^b

关键词：Energy consumption volatility ; GDP volatility ; Asymmetry ; Markov switching ARCH models ; Markov regime switching models

刊名：Energy

出版年：2016

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