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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
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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
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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
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Longevity bond pricing under stochastic interest rate and mortality with regime-switching
Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 114-123
Persistent link: https://www.econbiz.de/10009718990
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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
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Pricing foreign equity options with regime-switching
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Economic modelling 37 (2014), pp. 296-305
Persistent link: https://www.econbiz.de/10010417689
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Mean-variance portfolio selection under a constant elasticity of variance model
Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342
Persistent link: https://www.econbiz.de/10010404397
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Valuing commodity options and futures options with changing economic conditions
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Economic modelling 51 (2015), pp. 524-533
Persistent link: https://www.econbiz.de/10011476145
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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
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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