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An explicit analytic formula for pricing barrier options with regime switching

Chan, Leunglung; Zhu, Song-Ping - In: Mathematics and financial economics 9 (2015) 1, pp. 29-37

Persistent link: https://www.econbiz.de/10010500699

An analytic formula for pricing American-style convertible bonds in a regime switching model

Chan, Leunglung; Zhu, Song-Ping - In: IMA journal of management mathematics 26 (2015) 4, pp. 402-428

Persistent link: https://www.econbiz.de/10011515674

An analytic approach for pricing American options with regime switching

Chan, Leunglung; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-20

This paper investigates the American option price in a two-state regime-switching model. The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process. That means the interest rate, the appreciation rate, and the volatility of underlying rely on hidden states of the...

Persistent link: https://www.econbiz.de/10012533592

Editorial for special issue "finance, financial risk management and their applications"

Chan, Leunglung - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-3

We are pleased to announce the Special Issue on the Finance, Financial Risk Management and their Applications in the International Journal of Financial Studies. This Special Issue collects papers pertaining to several lines of research related to finance and financial risks. This Guest...

Persistent link: https://www.econbiz.de/10011964054

A new analytical approximation formula for the optimal exercise boundary of American put options

Zhu, Song-ping - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1141-1178

Persistent link: https://www.econbiz.de/10003395994

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

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

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

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

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