关注
Leunglung Chan
Leunglung Chan
在 unsw.edu.au 的电子邮件经过验证
标题
引用次数
引用次数
年份
Option pricing and Esscher transform under regime switching
RJ Elliott, L Chan, TK Siu
Annals of Finance 1, 423-432, 2005
5112005
Pricing options under a generalized Markov-modulated jump-diffusion model
RJ Elliott, TK Siu, L Chan, JW Lau
Stochastic Analysis and Applications 25 (4), 821-843, 2007
1492007
Pricing volatility swaps under Heston's stochastic volatility model with regime switching
RJ Elliott, T Kuen Siu, L Chan
Applied Mathematical Finance 14 (1), 41-62, 2007
1462007
Perpetual American options with fractional Brownianmotion
RJ Elliott, L Chan
Quantitative Finance 4 (2), 123, 2003
482003
On pricing barrier options with regime switching
RJ Elliott, TK Siu, L Chan
Journal of Computational and Applied Mathematics 256, 196-210, 2014
472014
A PDE approach for risk measures for derivatives with regime switching
RJ Elliott, TK Siu, L Chan
Annals of Finance 4, 55-74, 2008
432008
Option pricing for GARCH models with Markov switching
RJ Elliott, TK Siu, L Chan
International Journal of Theoretical and Applied Finance 9 (06), 825-841, 2006
432006
Option valuation under a regime-switching constant elasticity of variance process
RJ Elliott, L Chan, TK Siu
Applied Mathematics and Computation 219 (9), 4434-4443, 2013
252013
An explicit analytic formula for pricing barrier options with regime switching
L Chan, SP Zhu
Mathematics and Financial Economics 9, 29-37, 2015
182015
A dupire equation for a regime-switching model
RJ Elliott, L Chan, TK Siu
International Journal of Theoretical and Applied Finance 18 (04), 1550023, 2015
172015
Pricing and hedging of long dated variance swaps under a 3/2 volatility model
L Chan, E Platen
Journal of Computational and Applied Mathematics 278, 181-196, 2015
152015
An analytic formula for pricing American-style convertible bonds in a regime switching model
L Chan, SP Zhu
IMA journal of management mathematics 26 (4), 403-428, 2015
142015
Risk measures for derivatives with Markov-modulated pure jump processes
RJ Elliott, L Chan, TK Siu
Asia-Pacific Financial Markets 13, 129-149, 2006
142006
Saddlepoint approximations to option price in a regime-switching model
M Zhang, L Chan
Annals of Finance 12, 55-69, 2016
112016
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a Volatility Model
L Chan, E Platen
arXiv. org Papers, 2011
82011
An analytic approach for pricing american options with regime switching
L Chan, SP Zhu
Journal of Risk and Financial Management 14 (5), 188, 2021
72021
An exact and explicit formula for pricing asian options with regime switching
L Chan, SP Zhu
arXiv preprint arXiv:1407.5091, 2014
52014
An analytic formula for pricing American options with regime switching
SP Zhu, L Chan
Working Paper, 2013
52013
Pricing options in a Markov regime switching model with a random acceleration for the volatility
RJ Elliott, L Chan, TK Siu
IMA Journal of Applied Mathematics 81 (5), 842-859, 2016
42016
Pricing volatility derivatives under the modified constant elasticity of variance model
L Chan, E Platen
Operations Research Letters 43 (4), 419-422, 2015
42015
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