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| Title | Author/Creator | Date | Full Text | Reviewed | |
|---|---|---|---|---|---|
| Option valuation under a multivariate Markov chain model | Song, Na; Ching, Wai-Ki; Siu, Tak-Kuen; Fung, Eric S; Ng, Micheal K | 2010 | 
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| A PDE approach for risk measures for derivatives with regime switching | Elliott, Robert J; Siu, Tak Kuen; Chan, Leunglung | 2008 | — |
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Author/Creator
- Chan, Leunglung (1)
- Ching, Wai-Ki (1)
- Elliott, Robert J (1)
- Fung, Eric S (1)
- Ng, Micheal K (1)
- Siu, Tak Kuen (1)
- Siu, Tak-Kuen (1)
- Song, Na (1)
Subject Keyword
- American options (1)
- Delta-neutral hedging (1)
- Exotic options (1)
- Jump risk (1)
- Markov chain (1)
- Markov chain models (1)
- Markov processes (1)
- Regime-switching HJB equation (1)
Resource Type
- conference paper (1)
- journal article (1)
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