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11
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
Saved in:
12
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
Saved in:
13
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
Saved in:
14
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
Saved in:
15
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
Saved in:
16
Pricing volatility derivatives under the modified constant elasticity of variance model
Chan, Leunglung
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344235
Saved in:
17
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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18
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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19
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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20
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
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