2 citations · 5 across the 14 of their papers we have counts for
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q-fin.MF2021★ 1 cited
Rainbow Options under Bayesian MS-VAR Process
Battulga Gankhuu
This paper presents pricing and hedging methods for rainbow options and lookback options under Bayesian Markov-Switching Vector Autoregressive (MS--VAR) process. Here we assumed th…
q-fin.MF2021
Equity-Linked Life Insurances on Maximum of Several Assets
Battulga Gankhuu
Economic variables play important roles in any economic model, and sudden and dramatic changes exist in the financial market and economy. For this reason, to price and hedge equity…
q-fin.MF2021★ 2 cited
Options Pricing under Bayesian MS-VAR Process
Battulga Gankhuu
In this paper, we have studied option pricing methods that are based on a Bayesian Markov-Switching Vector Autoregressive (MS-BVAR) process using a risk-neutral valuation approach.…