Tim Siu-Tang Leung

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— This paper studies the valuation of multiple Amer-ican 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 max-imization 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
The aircraft maintenance and engineering (AME) companies have experienced a major change in the business environment over the last decade owing to increased operational constraints, tighter flight schedules and complex service provision network. The AME's found that an increased aircraft utilisation could affect the airliners' on-time performance (OTP) for(More)
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