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Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain

部分信息下的终端财富优化：连续时间马尔可夫链的漂移过程

Jörn Sass; Ulrich G. Haussmann

Finance and Stochastics. 2004;8(4):553-577. DOI:10.1007/s00780-004-0132-9

Comparison of Option Prices in Semimartingale Models

半鞅模型中期权价格的比较

Jan Bergenthum; Ludger Rüschendorf

Finance and Stochastics. 2006;10(2):222-249. DOI:10.1007/s00780-006-0001-9

Option Pricing for Pure Jump Processes with Markov Switching Compensators

具有马尔可夫切换补偿器的纯跳跃过程的期权定价

Robert J. Elliott; Carlton-James U. Osakwe

Finance and Stochastics. 2006;10(2):250-275. DOI:10.1007/s00780-006-0004-6

Another look at the integral of exponential Brownian motion and the pricing of Asian options

再看指数布朗运动的积分和亚式期权的定价

Lyasoff, Andrew

Finance and Stochastics. 2016;20(4):1061-1096. DOI:10.1007/s00780-016-0307-1

A note on invariant measures for HJM models

关于HJM模型不变测度的注记

Michael Tehranchi

Finance and Stochastics. 2005;9(3):389-398. DOI:10.1007/s00780-004-0143-6

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