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~person:"Elliott, Robert J."
~subject:"Markov chain"
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Elliott, Robert J.
Cui, Zhenyu
5
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4
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Option pricing using a regime switching stochastic discount factor
Elliott, Robert J.
;
Hamada, Ahmed S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
Saved in:
2
Default times in a
continuous
time
Markov chain economy
Elliott, Robert J.
;
Hoek, John van der
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 450-460
Persistent link: https://www.econbiz.de/10010235596
Saved in:
3
Bond valuation under a discrete-time regime-switching term-structure model and its
continuous-time
extension
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alex
- In:
Managerial Finance
37
(
2011
)
October
,
pp. 1025-1047
give exponential affine forms of bond prices using backward induction. The authors also consider a
continuous-time
…
Persistent link: https://www.econbiz.de/10010675801
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