Leunglung Chan

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
An exact and explicit formula for pricing lookback options with regime switching Journal of Industrial and Management Optimization	2022-10-10	Paper
An analytic formula for pricing American-style convertible bonds in a regime switching model IMA Journal of Management Mathematics	2019-06-18	Paper
Perpetual American options with fractional Brownian motion Quantitative Finance	2019-01-15	Paper
An exact formula for pricing American exchange options with regime switching International Series in Operations Research & Management Science	2018-12-21	Paper
Pricing options in a Markov regime switching model with a random acceleration for the volatility IMA Journal of Applied Mathematics	2018-11-29	Paper
Pricing volatility derivatives under the modified constant elasticity of variance model Operations Research Letters	2018-09-28	Paper
Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach ANZIAM Journal	2018-05-08	Paper
Saddlepoint approximations to option price in a regime-switching model Annals of Finance	2016-06-28	Paper
Pricing of long dated equity-linked life insurance contracts Stochastic Analysis and Applications	2016-04-29	Paper
A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL International Journal of Theoretical and Applied Finance	2015-07-23	Paper
Option valuation under a regime-switching constant elasticity of variance process Applied Mathematics and Computation	2015-06-18	Paper
On pricing barrier options with regime switching Journal of Computational and Applied Mathematics	2015-06-16	Paper
An explicit analytic formula for pricing barrier options with regime switching Mathematics and Financial Economics	2015-03-24	Paper
Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model Journal of Computational and Applied Mathematics	2014-11-27	Paper
A PDE approach for risk measures for derivatives with regime switching Annals of Finance	2012-03-06	Paper
Option pricing and Esscher transform under regime switching Annals of Finance	2012-03-05	Paper
Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model Stochastic Analysis and Applications	2007-09-21	Paper
Risk measures for derivatives with Markov-modulated pure jump processes Asia-Pacific Financial Markets	2007-08-27	Paper
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching Applied Mathematical Finance	2007-06-07	Paper
OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING International Journal of Theoretical and Applied Finance	2006-09-12	Paper

Research outcomes over time

This page was built for person: Leunglung Chan