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| Title | Author/Creator | Date | Full Text | Reviewed | |
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| On pricing derivatives under nonlinear time series models | Siu, Tak Kuen; Yang, Hailiang | 2007 | — | 
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| Risk measures for derivatives with Markov-modulated pure jump processes | Elliott, Robert J; Chan, Leunglung; Siu, Tak Kuen | 2006 | — |
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| Option pricing and Esscher transform under regime switching | Elliott, Robert J; Chan, Leunglung; Siu, Tak Kuen | 2005 | — |
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Author/Creator
- Chan, Leunglung (2)
- Elliott, Robert J (2)
- Yang, Hailiang (1)
Subject Keyword
- Esscher transform (2)
- American options (1)
- HJB-variational inequalities (1)
- MEMM (1)
- coherent risk measures (1)
- combined optimal stopping and control (1)
- exotic options (1)
- hidden Markov chain model (1)
- jump risk (1)
Resource Type
- journal article (2)
- conference paper (1)
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