18 citations · 19 across the 3 of their papers we have counts for
3 papers
q-fin.PR2014★ 1 cited
An exact and explicit formula for pricing Asian options with regime switching
Leunglung Chan, Song-Ping Zhu
This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian mo…
q-fin.PR2014
An exact and explicit formula for pricing lookback options with regime switching
Leunglung Chan, Song-Ping Zhu
This paper investigates the pricing of European-style lookback options when the price dynamics of the underlying risky asset are assumed to follow a Markov-modulated Geo-metric Bro…
q-fin.PR2010★ 18 cited
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a Volatility Model
Leunglung Chan, Eckhard Platen
This paper investigates the pricing and hedging of variance swaps under a volatility model. Explicit pricing and hedging formulas of variance swaps are obtained under the ben…