Concepedia
Statistics
Publications
14
Citations
915
H-Index
13
Active since
2004
Affiliations
University of Calgary(Current)
UNSW Sydney
Heriot-Watt University
Macquarie University
University of Wollongong
Leunglung Chan is an author at University of Calgary specializing in asset pricing, option pricing, and business.
Top concepts
BusinessAsset PricingOption PricingFinanceStochastic CalculusEngineeringStochastic AnalysisVolatility ModelingStochastic ProcessesFinancial Engineering
Publications per year
2004–2015
Option pricing and Esscher transform under regime switching
Robert J. Elliott, Leunglung Chan, Tak Kuen Siu · Annals of Finance · 2005 · 424 citations
Foreign Exchange Option, Option Pricing, Derivative Pricing
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
Robert J. Elliott, Tak Kuen Siu, Leunglung Chan · Applied Mathematical Finance · 2007 · 132 citations
Volatility Modeling, Engineering, Stochastic Analysis +16
Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
Robert J. Elliott, Tak Kuen Siu, Leunglung Chan et al. · Stochastic Analysis and Applications · 2007 · 110 citations
On pricing barrier options with regime switching
Robert J. Elliott, Tak Kuen Siu, Leunglung Chan · Journal of Computational and Applied Mathematics · 2013 · 42 citations
Mathematical Programming, Option Pricing, Asset Pricing +4
OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
Robert J. Elliott, Tak Kuen Siu, Leunglung Chan · International Journal of Theoretical and Applied Finance · 2006 · 36 citations
Option Pricing, Esscher Transform, Asset Pricing +11
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