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On option pricing under a completely random measure via a generalized Esscher transform
Lau, John W.; Siu, Tak Kuen - In: Insurance / Mathematics & economics 43 (2008) 1, pp. 99-107
Persistent link: https://www.econbiz.de/10008082358
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Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures
Lau, John W.; Siu, Tak Kuen - In: Computational economics 31 (2008) 3, pp. 255-288
Persistent link: https://www.econbiz.de/10007988797
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On option pricing under a completely random measure via a generalized Esscher transform
Lau, John W.; Siu, Tak Kuen - In: Insurance / Mathematics & economics 43 (2008) 1, pp. 99-108
Persistent link: https://www.econbiz.de/10008883789
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Pricing currency options under two-factor Markov-modulated stochastic volatility models
Siu, Tak Kuen; Yang, Hailiang; Lau, John W. - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 295-303
Persistent link: https://www.econbiz.de/10008893165
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On Markov-modulated exponential-affine bond price formulae
Elliott, Robert J.; Siu, Tak Kuen - In: Applied mathematical finance 16 (2009) 1/2, pp. 1-15
Persistent link: https://www.econbiz.de/10003847135
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On mean-variance portfolio selection under a hidden Markovian regime-switching model
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Economic modelling 27 (2010) 3, pp. 678-686
Persistent link: https://www.econbiz.de/10003995557
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A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Annals of finance 4 (2008) 1, pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
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Option pricing for GARCH models with Markov switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
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Risk measures for derivatives with Markov-modulated pure jump processes
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: Asia-Pacific financial markets 13 (2006) 2, pp. 129-149
Persistent link: https://www.econbiz.de/10003496776
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Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Applied mathematical finance 14 (2007) 1, pp. 41-62
Persistent link: https://www.econbiz.de/10003542938