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Lo, Chi-Fai

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Author ID: lo.chi-fai Recent zbMATH articles by "Lo, Chi-Fai"
Published as: Lo, C. F.; Lo, C.-F.; Lo, Chi-Fai
Documents Indexed: 40 Publications since 1967

Publications by Year

Citations contained in zbMATH

26 Publications have been cited 130 times in 96 Documents Cited by Year
Constant elasticity of variance option pricing model with time-dependent parameters. Zbl 1006.91050
Lo, C. F.; Yuen, P. H.; Hui, C. H.
19
2000
Quantum prisoner dilemma under decoherence. Zbl 1031.81004
Chen, L. K.; Ang, Huiling; Kiang, D.; Kwek, L. C.; Lo, C. F.
14
2003
Quantum Bertrand duopoly with differentiated products. Zbl 1118.81401
Lo, C. F.; Kiang, D.
11
2004
Pricing barrier options with square root process. Zbl 1154.91461
Lo, C. F.; Yuen, P. H.; Hui, C. H.
11
2001
Comment on “Pricing double barrier options using Laplace transforms” by Antoon Pelsser. Zbl 0940.91023
Hui, C. H.; Lo, C. F.; Yuen, P. H.
11
2000
Lie-algebraic approach for pricing moving barrier options with time-dependent parameters. Zbl 1148.91020
Lo, C. F.; Hui, C. H.
9
2006
Quantum Stackelberg duopoly. Zbl 1098.81744
Lo, C. F.; Kiang, D.
7
2003
Quantum Stackelberg duopoly with incomplete information. Zbl 1195.81042
Lo, C.-F.; Kiang, D.
6
2005
Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary. Zbl 1173.60004
Lo, C. F.; Hui, C. H.
5
2006
Exact solutions of nonlinear Fokker-Planck equations of the Desai-Zwanzig type. Zbl 1136.82358
Lo, C. F.
4
2005
Pricing multi-asset financial derivatives with time-dependent parameters – Lie algebraic approach. Zbl 1068.91035
Lo, C. F.; Hui, C. H.
4
2002
Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach. Zbl 1405.91637
Lo, C. F.; Hui, C. H.
4
2001
The sum and difference of two lognormal random variables. Zbl 1260.60018
Lo, C. F.
3
2012
Pricing vulnerable European options with stochastic default barriers. Zbl 1153.91514
Hui, C. H.; Lo, C. F.; Ku, K. C.
3
2007
A simple approach for pricing barrier options with time-dependent parameters. Zbl 1405.91638
Lo, C. F.; Lee, H. C.; Hui, C. H.
3
2003
Comment on “Special-case closed form of the Baker-Campbell-Hausdorff formula”. Zbl 1391.15032
Lo, C. F.
2
2016
Valuing time-dependent CEV barrier options. Zbl 1175.91075
Lo, C. F.; Tang, H. M.; Ku, K. C.; Hui, C. H.
2
2009
Valuing double barrier options with time-dependent parameters by Fourier series expansion. Zbl 1227.91035
Lo, C. F.; Hui, C. H.
2
2007
Exact solutions of the Fokker-Planck equations with moving boundaries. Zbl 1175.82042
Lo, C. F.
2
2005
Valuation model of defaultable bond values in emerging markets. Zbl 1061.91027
Hui, C. H.; Lo, C. F.
2
2002
The pricing of basket-spread options. Zbl 1402.91795
Lau, Chun-Sing; Lo, Chi-Fai
1
2014
A simple derivation of Kirk’s approximation for spread options. Zbl 1308.91166
Lo, C. F.
1
2013
Effect of asset value correlation on credit-linked note values. Zbl 1107.91352
Hui, C. H.; Lo, C. F.
1
2002
Option risk measurement with time-dependent parameters. Zbl 0978.91046
Lo, C. F.; Yuen, P. H.; Hui, C. H.
1
2000
Coherent-state propagator of two coupled generalized time-dependent parametric oscillators. Zbl 1052.81537
Ng, K. M.; Lo, C. F.
1
1997
The elastic stability of curved bea ms. Zbl 0166.43802
Lo, C. F.; Conway, H. D.
1
1967
Comment on “Special-case closed form of the Baker-Campbell-Hausdorff formula”. Zbl 1391.15032
Lo, C. F.
2
2016
The pricing of basket-spread options. Zbl 1402.91795
Lau, Chun-Sing; Lo, Chi-Fai
1
2014
A simple derivation of Kirk’s approximation for spread options. Zbl 1308.91166
Lo, C. F.
1
2013
The sum and difference of two lognormal random variables. Zbl 1260.60018
Lo, C. F.
3
2012
Valuing time-dependent CEV barrier options. Zbl 1175.91075
Lo, C. F.; Tang, H. M.; Ku, K. C.; Hui, C. H.
2
2009
Pricing vulnerable European options with stochastic default barriers. Zbl 1153.91514
Hui, C. H.; Lo, C. F.; Ku, K. C.
3
2007
Valuing double barrier options with time-dependent parameters by Fourier series expansion. Zbl 1227.91035
Lo, C. F.; Hui, C. H.
2
2007
Lie-algebraic approach for pricing moving barrier options with time-dependent parameters. Zbl 1148.91020
Lo, C. F.; Hui, C. H.
9
2006
Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary. Zbl 1173.60004
Lo, C. F.; Hui, C. H.
5
2006
Quantum Stackelberg duopoly with incomplete information. Zbl 1195.81042
Lo, C.-F.; Kiang, D.
6
2005
Exact solutions of nonlinear Fokker-Planck equations of the Desai-Zwanzig type. Zbl 1136.82358
Lo, C. F.
4
2005
Exact solutions of the Fokker-Planck equations with moving boundaries. Zbl 1175.82042
Lo, C. F.
2
2005
Quantum Bertrand duopoly with differentiated products. Zbl 1118.81401
Lo, C. F.; Kiang, D.
11
2004
Quantum prisoner dilemma under decoherence. Zbl 1031.81004
Chen, L. K.; Ang, Huiling; Kiang, D.; Kwek, L. C.; Lo, C. F.
14
2003
Quantum Stackelberg duopoly. Zbl 1098.81744
Lo, C. F.; Kiang, D.
7
2003
A simple approach for pricing barrier options with time-dependent parameters. Zbl 1405.91638
Lo, C. F.; Lee, H. C.; Hui, C. H.
3
2003
Pricing multi-asset financial derivatives with time-dependent parameters – Lie algebraic approach. Zbl 1068.91035
Lo, C. F.; Hui, C. H.
4
2002
Valuation model of defaultable bond values in emerging markets. Zbl 1061.91027
Hui, C. H.; Lo, C. F.
2
2002
Effect of asset value correlation on credit-linked note values. Zbl 1107.91352
Hui, C. H.; Lo, C. F.
1
2002
Pricing barrier options with square root process. Zbl 1154.91461
Lo, C. F.; Yuen, P. H.; Hui, C. H.
11
2001
Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach. Zbl 1405.91637
Lo, C. F.; Hui, C. H.
4
2001
Constant elasticity of variance option pricing model with time-dependent parameters. Zbl 1006.91050
Lo, C. F.; Yuen, P. H.; Hui, C. H.
19
2000
Comment on “Pricing double barrier options using Laplace transforms” by Antoon Pelsser. Zbl 0940.91023
Hui, C. H.; Lo, C. F.; Yuen, P. H.
11
2000
Option risk measurement with time-dependent parameters. Zbl 0978.91046
Lo, C. F.; Yuen, P. H.; Hui, C. H.
1
2000
Coherent-state propagator of two coupled generalized time-dependent parametric oscillators. Zbl 1052.81537
Ng, K. M.; Lo, C. F.
1
1997
The elastic stability of curved bea ms. Zbl 0166.43802
Lo, C. F.; Conway, H. D.
1
1967
all top 5

Cited by 185 Authors

7 Lo, Chi-Fai
6 Frąckiewicz, Piotr
5 Hui, Cho-Hoi
3 Leach, Peter Gavin Lawrence
3 O’Hara, James Gabriel
3 Ramzan, Muhammad Babar
3 Sinkala, Winter
2 Caister, Nicolette C.
2 Chan, Leunglung
2 Fang, Maofa
2 Frank, Till Daniel
2 Fusai, Gianluca
2 Gao, Jianwei
2 Gawron, Piotr
2 Govinder, Keshlan Sathasiva
2 Knessl, Charles
2 Liao, Xiang-Ping
2 Magnasco, Marcelo O.
2 Miszczak, Jaroslaw Adam
2 O’Hara, John G.
2 Platen, Eckhard
2 Recchioni, Maria Cristina
2 Sładkowski, Jan
2 Taillefumier, Thibaud
2 Yuen, P. H.
2 Zhao, Hui
1 Abouei, Jamshid
1 Abrahams, I. David
1 Agliardi, Elettra
1 Agliardi, Rossella
1 Al-khedhairi, A.
1 Alexander, Scott
1 Anpalagan, Alagan
1 Arfi, Badredine
1 Askar, S. S.
1 Atkinson, Colin
1 Aziz, Taha
1 Bakkaloglu, Ahmet
1 Ballestra, Luca Vincenzo
1 Benth, Fred Espen
1 Bhuruth, Muddun
1 Biagi, Stefano
1 Bolonek-Lasoń, Katarzyna
1 Bonfiglioli, Andrea
1 Bormetti, Giacomo
1 Boyarchenko, Mitya
1 Boyarchenko, Svetlana I.
1 Callegaro, Giorgia
1 Campi, Luciano
1 Cho, Yong Hwan
1 Chung, Tsz-Kin
1 Dassios, Angelos
1 Decamps, Marc
1 Di Nunno, Giulia
1 Ding, Xiang-Zhuo
1 Elgazzar, Ahmed S.
1 Elliott, Robert James
1 Eloe, Paul W.
1 Fabozzi, Frank J.
1 Fatima, Aeeman
1 Fatone, Lorella
1 Goetz, Albert
1 Gong, Qingbin
1 Goovaerts, Marc J.
1 Green, Ross
1 Gu, Mengdi
1 Guardasoni, Chiara
1 Guillaume, Tristan
1 Gulisashvili, Archil
1 Guo, Zhijun
1 Guz, Alexander Nikolaevich
1 Han, Xingyu
1 Heo, Hyeong-Do
1 Hernández, Isabel
1 Hu, Fannu
1 Huang, Zhiming
1 Ibrahim, Siti Nur Iqmal
1 Jalen, Luka
1 Jiang, Shuqing
1 Jiang, Tingting
1 Jin, Yunguo
1 Jokhadze, Valeriane
1 Kazantzaki, S.
1 Khalique, Chaudry Masood
1 Khan, Mohammad Khalid Rafat
1 Khan, Mohd. Khalid Rafat
1 Khan, Muhammad Khurram
1 Khan, Salman A.
1 Khan, Salman H.
1 Kim, Young Shin S.
1 Ko, I. K.
1 Kordzakhia, Nino E.
1 Kosiński, Piotr
1 Ku, Keng-Chu
1 Kwok, Cordelia M. Y.
1 Kwon, Deuk-Chul
1 Lee, John B.
1 Li, Shoude
1 Liang, Zongxia
1 Ling, Tingting
...and 85 more Authors
all top 5

Cited in 57 Serials

13 Quantum Information Processing
7 International Journal of Theoretical and Applied Finance
4 Insurance Mathematics & Economics
3 International Journal of Theoretical Physics
3 Journal of Mathematical Analysis and Applications
3 Physics Letters. A
3 Applied Mathematics and Computation
3 Mathematical Finance
2 Journal of Statistical Physics
2 Journal of Computational and Applied Mathematics
2 Journal of Economic Dynamics & Control
2 Applied Mathematics Letters
2 Applied Mathematical Finance
2 Mathematical Problems in Engineering
2 Quantitative Finance
2 Advances in Mathematical Physics
1 Modern Physics Letters B
1 International Journal of Modern Physics B
1 Computers & Mathematics with Applications
1 Journal of Applied Mathematics and Mechanics
1 Journal of Mathematical Physics
1 Linear and Multilinear Algebra
1 Mathematical Biosciences
1 Mathematical Methods in the Applied Sciences
1 Chaos, Solitons and Fractals
1 Theory of Probability and its Applications
1 Journal of Differential Equations
1 Mathematica Slovaca
1 Theory and Decision
1 Statistics & Probability Letters
1 Operations Research Letters
1 Acta Mathematicae Applicatae Sinica. English Series
1 Mathematical and Computer Modelling
1 European Journal of Applied Mathematics
1 Applications of Mathematics
1 International Journal of Computer Mathematics
1 Proceedings of the National Academy of Sciences of the United States of America
1 Bernoulli
1 Finance and Stochastics
1 Journal of Vibration and Control
1 Journal of Applied Mathematics and Decision Sciences
1 Discrete Dynamics in Nature and Society
1 Communications in Nonlinear Science and Numerical Simulation
1 Journal of Biological Systems
1 Nonlinear Analysis. Real World Applications
1 Decisions in Economics and Finance
1 Journal of Applied Mathematics
1 Asia-Pacific Financial Markets
1 International Journal of Quantum Information
1 Mathematics and Financial Economics
1 Nonlinear Analysis. Hybrid Systems
1 Operational Research. An International Journal
1 Science China. Mathematics
1 Journal of Probability and Statistics
1 Numerical Algebra, Control and Optimization
1 Communications in Applied and Industrial Mathematics
1 Mathematics

Citations by Year