Option valuation under a regime-switching constant elasticity of variance process. - Robert J. Elliott; Leunglung Chan; Tak Kuen Siu (Appl. Math. Comput., 2013)

On pricing barrier options with regime switching. - Robert J. Elliott; Tak Kuen Siu; Leunglung Chan (J. Comput. Appl. Math., 2014)

Pricing and hedging of long dated variance swaps under a 3/2 volatility model. - Leunglung Chan; Eckhard Platen (J. Comput. Appl. Math., 2015)

Pricing volatility derivatives under the modified constant elasticity of variance model. - Leunglung Chan; Eckhard Platen (Oper. Res. Lett., 2015)