Tim Siu-Tang Leung

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This paper studies the valuation of multiple American options in an incomplete market where asset prices follow Markov-modulated dynamics. The holder’s optimal hedging and exercising strategies are determined from a utility maximization problem with optimal multiple stopping. We analyze the associated system of variational inequalities for the holder’s(More)
  • Journal Papers, Leung T S, +8 authors Chan M F S
  • 2008
............................................................................................................................. i Publication Arising from the Thesis ................................................................................... iii(More)
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