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accessRights:"restricted"
~person:"Cui, Zhenyu"
~person:"Feinberg, Eugene A."
~person:"Zhu, Song-Ping"
~subject:"Markov chain"
~type_genre:"Article in journal"
~type_genre:"Government document"
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Markov chain
Markov-Kette
21
Option pricing theory
12
Optionspreistheorie
12
Stochastic process
10
Stochastischer Prozess
10
Theorie
8
Theory
8
Volatility
6
Volatilität
6
Continuous-time Markov chain
4
Finance
4
Markov decision process
4
Option trading
4
Optionsgeschäft
4
Decision
3
Derivat
3
Derivative
3
Entscheidung
3
Mathematical programming
3
Mathematische Optimierung
3
Option pricing
3
Probability theory
3
Stochastic volatility
3
Wahrscheinlichkeitsrechnung
3
Discounting
2
Diskontierung
2
Heston model
2
Jump diffusion
2
Markov chains
2
Markov process
2
Regime-switching
2
Variance swaps
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optimal policy
2
optimality inequality
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regime switching
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Article in journal
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21
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21
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Cui, Zhenyu
Feinberg, Eugene A.
Zhu, Song-Ping
Tsionas, Efthymios G.
17
Gupta, Rangan
13
Serletis, Apostolos
11
Xu, Libo
9
Casarin, Roberto
7
Chang, Kuang-Liang
7
Elliott, Robert J.
7
Kirkby, J. Lars
7
Legros, Benjamin
7
Li, Lingfei
7
Li, Yong
7
Lunday, Brian J.
7
Ma, Feng
7
Nguyen, Duy
7
Robbins, Matthew J.
7
Shi, Yanlin
7
Siu, Tak Kuen
7
Cavicchioli, Maddalena
6
D'Amico, Guglielmo
6
Dimitrakopoulos, Stefanos
6
Guo, Xianping
6
He, Xin-Jiang
6
Lee, Hsiang-Tai
6
Leiva-Leon, Danilo
6
Wei, Qingda
6
Balcilar, Mehmet
5
Banik, A. D.
5
Billio, Monica
5
Blazsek, Szabolcs
5
Ching, Wai Ki
5
Geng, Na
5
Goutte, Stéphane
5
Goyal, Vineet
5
Guidolin, Massimo
5
Hammoudeh, Shawkat
5
Hou, Chenghan
5
Houtum, Geert-Jan van
5
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European journal of operational research : EJOR
4
Journal of economic dynamics & control
3
Operations research letters
3
IMA journal of management mathematics
2
Mathematics of operations research
2
Quantitative finance
2
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance
1
Mathematical methods of operations research : ZOR
1
Naval research logistics : an international journal
1
The journal of derivatives : JOD
1
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ECONIS (ZBW)
21
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1
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
2
Sufficiency of Markov policies for continuous-time jump Markov decision processes
Feinberg, Eugene A.
;
Mandava, Manasa
;
Širjaev, Alʹbert N.
- In:
Mathematics of operations research
47
(
2022
)
2
,
pp. 1266-1286
Persistent link: https://www.econbiz.de/10013365293
Saved in:
3
A new algorithm for calibrating local regime-switching models
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
IMA journal of management mathematics
32
(
2021
)
2
,
pp. 237-255
Persistent link: https://www.econbiz.de/10012434403
Saved in:
4
Pricing discretely monitored barrier options under Markov processes through markov chain approximation
Cui, Zhenyu
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 8-33
Persistent link: https://www.econbiz.de/10012486028
Saved in:
5
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
6
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
7
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Saved in:
8
MDPs with setwise continuous transition probabilities
Feinberg, Eugene A.
;
Kasʹjanov, Pavlo O.
- In:
Operations research letters
49
(
2021
)
5
,
pp. 734-740
Persistent link: https://www.econbiz.de/10013207440
Saved in:
9
Complexity bounds for approximately solving discounted MDPs by value iterations
Feinberg, Eugene A.
;
He, Gaojin
- In:
Operations research letters
48
(
2020
)
5
,
pp. 543-548
Persistent link: https://www.econbiz.de/10012303405
Saved in:
10
Optimal execution with regime-switching market resilience
Siu, Chi Chung
;
Guo, Ivan
;
Zhu, Song-Ping
;
Elliott, …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
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