Dr Ron Chan
| Name | Dr Ron Chan |
|---|---|
| Job title | Senior Lecturer |
| Email address | t.l.chan@uel.ac.uk |
| Research institute | Business & 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/10.1080/14697688.2020.1736612An 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/10.1080/14697688.2020.1736322Efficient 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.2019.100984Hedging 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. 54 (Art. 100973). https://doi.org/10.1016/j.najef.2019.04.016Singular 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/10.1080/14697688.2017.1414952Option 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.2017.03.027Adaptive 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/s10614-016-9563-6A 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.2013.850902Options 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/s11147-013-9095-31074
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