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Faculty of Science and Tech...
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JIANG Zhengjun
3
CHOW Wai Yip
1
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Regime switching
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American put option
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First-passage problem
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Finance and Stochastics
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Optimal dividend policy when cash reserves follow a jump-diffusion process under Markov-regime switching
Journal article
Journal of Applied Probability,2015, volume: 52, issue: 1, pages: 209-223
Authors:
Jiang, Zhengjun
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Submit date:2021/10/19
Jump-diffusion process
Markov chain
Optimal dividend policy
Regime switching
Stochastic control
Financial development and growth: A clustering and causality analysis
Journal article
Journal of International Trade and Economic Development,2013, volume: 22, issue: 3, pages: 430-453
Authors:
Chow, William W.
;
Fung, Michael K.
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Submit date:2022/03/21
economic growth
financial development
Granger causality
panel vector autoregression
regime switching
Optimal dividend distribution under Markov regime switching
Journal article
Finance and Stochastics,2012, volume: 16, issue: 3, pages: 449-476
Authors:
Jiang, Zhengjun
;
Pistorius, Martijn
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View/Download:8/0
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Submit date:2021/10/19
Optimal dividend distribution
Regime switching
Stochastic control
On perpetual American put valuation and first-passage in a regime-switching model with jumps
Journal article
Finance and Stochastics,2008, volume: 12, issue: 3, pages: 331-355
Authors:
Jiang, Zhengjun
;
Pistorius, Martijn R.
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Submit date:2022/02/15
American put option
First-passage problem
Matrix Wiener-Hopf factorization
Phase-type
Regime-switching