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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

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

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

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

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

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

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

European option pricing with market frictions, regime switches and model uncertainty

Siu, Tak Kuen - In: Insurance / Mathematics & economics 113 (2023), pp. 233-250

Persistent link: https://www.econbiz.de/10014466214

Markov Chains : Models, Algorithms and Applications

Ching, Wai Ki - 2013 - 2nd ed. 2013

Introduction -- Manufacturing and Re-manufacturing Systems -- A Hidden Markov Model for Customer Classification -- Markov Decision Processes for Customer Lifetime Value -- Higher-order Markov Chains -- Multivariate Markov Chains -- Hidden Markov Chains

Persistent link: https://www.econbiz.de/10014016579

On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy

Elliott, Robert J.; Siu, Tak Kuen - 2010

Persistent link: https://www.econbiz.de/10003964890