Dr Ron Chan


NameDr Ron Chan
Job titleSenior Lecturer
Email addresst.l.chan@uel.ac.uk
Research instituteBusiness & Law

Research outputs

Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series

Chan, R. and Hale, N. 2020. Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series. Quantitative Finance. 20 (8), pp. 1307-1324. https://doi.org/10.1080/14697688.2020.1736612

An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes

Chan, R. 2020. An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes. Quantitative Finance. 20 (8), pp. 1325-1343. https://doi.org/10.1080/14697688.2020.1736322

Efficient computation of european option prices and their sensitivities with the complex fourier series method

Chan, R. 2019. Efficient computation of european option prices and their sensitivities with the complex fourier series method. The North American Journal of Economics and Finance. 50 (Art. 100984). https://doi.org/10.1016/j.najef.2019.100984

Hedging and pricing early-exercise options with complex fourier series expansion

Chan, R. 2019. Hedging and pricing early-exercise options with complex fourier series expansion. The North American Journal of Economics and Finance. https://doi.org/10.1016/j.najef.2019.04.016

Singular Fourier-Padé Series Expansion of European Option Prices

Chan, R. 2018. Singular Fourier-Padé Series Expansion of European Option Prices. Quantitative Finance. 18 (7), pp. 1149-1171. https://doi.org/10.1080/14697688.2017.1414952

Option pricing with Legendre polynomials

Hok, Julien and Chan, R. 2017. Option pricing with Legendre polynomials. Journal of Computational and Applied Mathematics. 322, pp. 25-45. https://doi.org/10.1016/j.cam.2017.03.027

Adaptive Radial Basis Function Methods for Pricing Options Under Jump-Diffusion Models

Chan, R. 2016. Adaptive Radial Basis Function Methods for Pricing Options Under Jump-Diffusion Models. Computational Economics. 47 (4), pp. 623-643. https://doi.org/10.1007/s10614-016-9563-6

A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models

Brummelhuis, Raymond and Chan, R. 2013. A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models. Applied Mathematical Finance. 21 (3), pp. 238-269. https://doi.org/10.1080/1350486X.2013.850902

Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme

Chan, R. and Hubbert, Simon 2014. Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. Review of Derivatives Research. 17 (2), pp. 161-189. https://doi.org/10.1007/s11147-013-9095-3
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