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Stochastic lattice models for valuation of volatility options
Ma, Jingtang; Li, Wenyuan; Han, Xu - In: Economic modelling 47 (2015), pp. 93-104
Persistent link: https://www.econbiz.de/10011438895
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Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Ma, Jingtang; Deng, Dongya; Lai, Yongzeng - In: The North American journal of economics and finance : a … 34 (2015), pp. 1-21
Persistent link: https://www.econbiz.de/10011539653
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Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model
Ma, Jingtang; Li, Wenyuan; Zheng, Harry - In: European journal of operational research : EJOR 280 (2020) 2, pp. 428-440
Persistent link: https://www.econbiz.de/10012132415
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Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
Ma, Jingtang; Li, Wenyuan; Zheng, Harry - In: European journal of operational research : EJOR 262 (2017) 3, pp. 851-862
Persistent link: https://www.econbiz.de/10011802243
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Optimal investment strategies for general utilities under dynamic elasticity of variance models
Li, Wenyuan; Ma, Jingtang - In: Quantitative finance 18 (2018) 8, pp. 1379-1388
Persistent link: https://www.econbiz.de/10011911546
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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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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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Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends
Ma, Jingtang; Fan, Jiacheng - In: The North American journal of economics and finance : a … 37 (2016), pp. 128-147
Persistent link: https://www.econbiz.de/10011672905
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A fast algorithm for simulation of rough volatility models
Ma, Jingtang; Wu, Haofei - In: Quantitative finance 22 (2022) 3, pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
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Optimal entry decision of unemployment insurance under partial information
Xing, Jie; Ma, Jingtang; Yang, Wensheng - In: Insurance / Mathematics & economics 110 (2023), pp. 31-52
Persistent link: https://www.econbiz.de/10014282480