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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

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

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

Pricing volatility derivatives under the modified constant elasticity of variance model

Chan, Leunglung; Platen, Eckhard - In: Operations research letters 43 (2015) 4, pp. 419-422

Persistent link: https://www.econbiz.de/10011372401

Pricing volatility derivatives under the modified constant elasticity of variance model

Chan, Leunglung; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344235

A Dupire equation for a regime-switching model

Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-13

Persistent link: https://www.econbiz.de/10011403770