Option pricing and Esscher transform under regime switching RJ Elliott, L Chan, TK Siu
Annals of Finance 1, 423-432, 2005
506 2005 Pricing options under a generalized Markov-modulated jump-diffusion model RJ Elliott, TK Siu, L Chan, JW Lau
Stochastic Analysis and Applications 25 (4), 821-843, 2007
145 2007 Pricing volatility swaps under Heston's stochastic volatility model with regime switching RJ Elliott, T Kuen Siu, L Chan
Applied Mathematical Finance 14 (1), 41-62, 2007
145 2007 Perpetual American options with fractional Brownian motion RJ Elliott, L Chan
Quantitative Finance 4 (2), 123, 2003
49 2003 On pricing barrier options with regime switching RJ Elliott, TK Siu, L Chan
Journal of Computational and Applied Mathematics 256, 196-210, 2014
46 2014 A PDE approach for risk measures for derivatives with regime switching RJ Elliott, TK Siu, L Chan
Annals of Finance 4, 55-74, 2008
40 2008 Option pricing for GARCH models with Markov switching RJ Elliott, TK Siu, L Chan
International Journal of Theoretical and Applied Finance 9 (06), 825-841, 2006
40 2006 Option valuation under a regime-switching constant elasticity of variance process RJ Elliott, L Chan, TK Siu
Applied Mathematics and Computation 219 (9), 4434-4443, 2013
25 2013 A dupire equation for a regime-switching model RJ Elliott, L Chan, TK Siu
International Journal of Theoretical and Applied Finance 18 (04), 1550023, 2015
17 2015 An explicit analytic formula for pricing barrier options with regime switching L Chan, SP Zhu
Mathematics and Financial Economics 9, 29-37, 2015
17 2015 Pricing and hedging of long dated variance swaps under a 3/2 volatility model L Chan, E Platen
Journal of Computational and Applied Mathematics 278, 181-196, 2015
15 2015 Pricing and hedging of long dated variance swaps under a 3/2 volatility model L Chan, E Platen
Journal of Computational and Applied Mathematics 278, 181-196, 2015
15 2015 An analytic formula for pricing American-style convertible bonds in a regime switching model L Chan, SP Zhu
IMA journal of management mathematics 26 (4), 403-428, 2015
14 2015 Risk measures for derivatives with Markov-modulated pure jump processes RJ Elliott, L Chan, TK Siu
Asia-Pacific Financial Markets 13, 129-149, 2006
14 2006 Saddlepoint approximations to option price in a regime-switching model M Zhang, L Chan
Annals of Finance 12, 55-69, 2016
10 2016 Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a L Chan, E Platen
arXiv. org Papers, 2011
8 2011 An analytic approach for pricing american options with regime switching L Chan, SP Zhu
Journal of Risk and Financial Management 14 (5), 188, 2021
6 2021 An exact and explicit formula for pricing asian options with regime switching L Chan, SP Zhu
arXiv preprint arXiv:1407.5091, 2014
5 2014 An analytic formula for pricing American options with regime switching SP Zhu, L Chan
Working Paper, 2013
5 2013 Pricing options in a Markov regime switching model with a random acceleration for the volatility RJ Elliott, L Chan, TK Siu
IMA Journal of Applied Mathematics 81 (5), 842-859, 2016
4 2016 