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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
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Pricing volatility derivatives under the modified constant elasticity of variance model
Chan, Leunglung; Platen, Eckhard - In: Operations research letters 43 (2015) 4, pp. 419-422
Persistent link: https://www.econbiz.de/10011372401
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Pricing volatility derivatives under the modified constant elasticity of variance model
Chan, Leunglung; Platen, Eckhard - 2015
Persistent link: https://www.econbiz.de/10011344235
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Saddlepoint approximations to option price in a regime-switching model
Zhang, Mengzhe; Chan, Leunglung - In: Annals of finance 12 (2016) 1, pp. 55-69
Persistent link: https://www.econbiz.de/10011555421
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A Dupire equation for a regime-switching model
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
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Option pricing and Esscher transform under regime switching
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: Annals of finance 1 (2005) 4, pp. 423-432
Persistent link: https://www.econbiz.de/10003090579
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Pricing volatility swaps in the Heston's stochastic volatility model with regime switching : a saddlepoint approximation method
Zhang, Mengzhe; Chan, Leunglung - In: International journal of financial engineering 3 (2016) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10011673092