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Valuing commodity options and...
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Theorie
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17
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4
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1
Pricing annuity guarantees under a double regime-switching model
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011312087
Saved in:
2
Pricing foreign equity options with regime-switching
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Economic modelling
37
(
2014
),
pp. 296-305
Persistent link: https://www.econbiz.de/10010417689
Saved in:
3
Pricing dynamic fund protection under hidden Markov models
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
IMA journal of management mathematics
29
(
2018
)
1
,
pp. 99-117
Persistent link: https://www.econbiz.de/10011858973
Saved in:
4
Option valuation under a double regime-switching model
Shen, Yang
;
Fan, Kun
;
Siu, Tak Kuen
- In:
The journal of futures markets
34
(
2014
)
5
,
pp. 451-478
Persistent link: https://www.econbiz.de/10010370881
Saved in:
5
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Operations research letters
41
(
2013
)
2
,
pp. 180-187
Persistent link: https://www.econbiz.de/10009727702
Saved in:
6
Asset allocation under stochastic interest rate with regime switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
29
(
2012
)
4
,
pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
Saved in:
7
Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
30
(
2013
),
pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
Saved in:
8
Longevity bond pricing under stochastic interest rate and mortality with regime-switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
52
(
2013
)
1
,
pp. 114-123
Persistent link: https://www.econbiz.de/10009718990
Saved in:
9
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
Saved in:
10
Mean-variance portfolio selection under a constant elasticity of variance model
Shen, Yang
;
Zhang, Xin
;
Siu, Tak Kuen
- In:
Operations research letters
42
(
2014
)
5
,
pp. 337-342
Persistent link: https://www.econbiz.de/10010404397
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