| Option pricing and Esscher transform under regime switching RJ Elliott, L Chan, TK Siu Annals of Finance 1 (4), 423-432, 2005 | 544 | 2005 |
| Pricing options under a generalized Markov-modulated jump-diffusion model RJ Elliott, TK Siu, L Chan, JW Lau Stochastic Analysis and Applications 25 (4), 821-843, 2007 | 156 | 2007 |
| Pricing volatility swaps under Heston's stochastic volatility model with regime switching RJ Elliott, T Kuen Siu, L Chan Applied Mathematical Finance 14 (1), 41-62, 2007 | 151 | 2007 |
| Perpetual American options with fractional Brownianmotion RJ Elliott, L Chan Quantitative Finance 4 (2), 123, 2003 | 49 | 2003 |
| On pricing barrier options with regime switching RJ Elliott, TK Siu, L Chan Journal of Computational and Applied Mathematics 256, 196-210, 2014 | 48 | 2014 |
| Option pricing for GARCH models with Markov switching RJ Elliott, TK Siu, L Chan International Journal of Theoretical and Applied Finance 9 (06), 825-841, 2006 | 47 | 2006 |
| A PDE approach for risk measures for derivatives with regime switching RJ Elliott, TK Siu, L Chan Annals of Finance 4 (1), 55-74, 2008 | 46 | 2008 |
| Option valuation under a regime-switching constant elasticity of variance process RJ Elliott, L Chan, TK Siu Applied Mathematics and Computation 219 (9), 4434-4443, 2013 | 26 | 2013 |
| A dupire equation for a regime-switching model RJ Elliott, L Chan, TK Siu International Journal of Theoretical and Applied Finance 18 (04), 1550023, 2015 | 19 | 2015 |
| An explicit analytic formula for pricing barrier options with regime switching L Chan, SP Zhu Mathematics and Financial Economics 9 (1), 29-37, 2015 | 19 | 2015 |
| An analytic formula for pricing American-style convertible bonds in a regime switching model L Chan, SP Zhu IMA journal of management mathematics 26 (4), 403-428, 2015 | 18 | 2015 |
| Pricing and hedging of long dated variance swaps under a 3/2 volatility model L Chan, E Platen Journal of Computational and Applied Mathematics 278, 181-196, 2015 | 15 | 2015 |
| Risk measures for derivatives with Markov-modulated pure jump processes RJ Elliott, L Chan, TK Siu Asia-Pacific Financial Markets 13 (2), 129-149, 2006 | 14 | 2006 |
| Saddlepoint approximations to option price in a regime-switching model M Zhang, L Chan Annals of Finance 12 (1), 55-69, 2016 | 11 | 2016 |
| An analytic approach for pricing American options with regime switching L Chan, SP Zhu Journal of Risk and Financial Management 14 (5), 188, 2021 | 9 | 2021 |
| Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a Volatility Model L Chan, E Platen arXiv. org Papers, 2011 | 8 | 2011 |
| An exact and explicit formula for pricing asian options with regime switching L Chan, SP Zhu arXiv preprint arXiv:1407.5091, 2014 | 6 | 2014 |
| Pricing options in a Markov regime switching model with a random acceleration for the volatility RJ Elliott, L Chan, TK Siu IMA Journal of Applied Mathematics 81 (5), 842-859, 2016 | 5 | 2016 |
| Pricing volatility derivatives under the modified constant elasticity of variance model L Chan, E Platen Operations Research Letters 43 (4), 419-422, 2015 | 5 | 2015 |
| An analytic formula for pricing American options with regime switching SP Zhu, L Chan Working Paper, 2013 | 5 | 2013 |
