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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
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CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
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A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars; Nguyen, Duy; Cui, Zhenyu - In: Journal of economic dynamics & control 80 (2017), pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
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Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32
Persistent link: https://www.econbiz.de/10011787421