Leunglung Chan

Available identifiers

zbMath Open chan.leunglungMaRDI QIDQ300690

List of research outcomes

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

Research outcomes over time

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