Kwai Sun Leung

Hong Kong University of Science & Technology (HKUST)

Clearwater Bay

Kowloon, 999999

Hong Kong

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 38,244

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Top 38,244

in Total Papers Downloads

1,566

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Efficient Options Pricing Using the Fast Fourier Transform

Number of pages: 24 Posted: 11 Jan 2010
Kwai Sun Leung, Hoi Ying Wong and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST), The Chinese University of Hong Kong (CUHK) - Department of Statistics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 734 (43,572)
Citation 1

Abstract:

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option pricing, Fast Fourier transform, Levy processes, numerical algorithms

2.

Pricing Guaranteed Minimum Withdrawal Benefits under Stochastic Interest Rates

Number of pages: 26 Posted: 14 Jul 2009
Jingjiang Peng, Kwai Sun Leung and Yue Kuen Kwok
affiliation not provided to SSRN, Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 204 (186,978)
Citation 4

Abstract:

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3.

Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model With Stochastic Intensity

Number of pages: 17 Posted: 14 Jul 2009
Kwai Sun Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 197 (193,080)

Abstract:

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credit default swaps, counterparty risk, Markov chain model

4.

Employee Stock Option Valuation with Repricing Features

Number of pages: 23 Posted: 21 Feb 2007
Kwai Sun Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 171 (218,670)

Abstract:

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employee stock options, repricing feature, Brownian functionals

5.

Distribution of Occupation Times for Cev Diffusions and Pricing of Alpha-Quantile Options

Number of pages: 18 Posted: 03 Jan 2005
Yue Kuen Kwok and Kwai Sun Leung
Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology (HKUST)
Downloads 166 (224,159)
Citation 2

Abstract:

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occupation times, CEV process, alpha-quantile options, fixed-floating symmetry

6.

Finite Time Dividend-Ruin Models

Number of pages: 25 Posted: 22 Feb 2007
Yue Kuen Kwok, Kwai Sun Leung and Seng Yuen Leung
Hong Kong University of Science & Technology - Department of Mathematics, Hong Kong University of Science & Technology (HKUST) and Independent
Downloads 94 (341,673)

Abstract:

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dividend-ruin model, dividend payouts, reflecting and absorbing barriers