Leunglung Chan

Publication Activity (10 Years)

Years Active: 2013-2015
Publications (10 Years): 0

Top Topics

Decision Making

Black Scholes Model

Distributional Assumptions

Top Venues

J. Comput. Appl. Math.

Oper. Res. Lett.

Appl. Math. Comput.

Publications

Leunglung Chan, Eckhard Platen
Pricing volatility derivatives under the modified constant elasticity of variance model. Oper. Res. Lett. 43 (4) (2015)
Leunglung Chan, Eckhard Platen
Pricing and hedging of long dated variance swaps under a 3/2 volatility model. J. Comput. Appl. Math. 278 (2015)
Robert J. Elliott, Tak Kuen Siu, Leunglung Chan
On pricing barrier options with regime switching. J. Comput. Appl. Math. 256 (2014)
Robert J. Elliott, Leunglung Chan, Tak Kuen Siu
Option valuation under a regime-switching constant elasticity of variance process. Appl. Math. Comput. 219 (9) (2013)