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Discrete sums of geometric Brownian motions, annuities and Asian options
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 19-37
Persistent link: https://www.econbiz.de/10011597130
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2
Explosion in the quasi-Gaussian HJM model
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 643-666
Persistent link: https://www.econbiz.de/10011945882
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3
Sensitivities of Asian options in the black-scholes model
Pirjol, Dan
;
Zhu, Lingjiong
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011846502
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4
Short maturity forward start Asian options in local volatility models
Pirjol, Dan
;
Wang, Jing
;
Zhu, Lingjiong
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 187-221
Persistent link: https://www.econbiz.de/10012210271
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5
Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 433-449
Persistent link: https://www.econbiz.de/10014552074
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6
Short-maturity asymptotics for option prices with interest rate effects
Pirjol, Dan
;
Zhu, Lingjiong
- In:
International journal of theoretical and applied …
26
(
2023
)
6/7
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014500189
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7
Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Operations research letters
51
(
2023
)
3
,
pp. 346-352
Persistent link: https://www.econbiz.de/10014374962
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8
Short maturity options for Azéma-Yor martingales
Zhu, Lingjiong
- In:
International journal of financial engineering
2
(
2015
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011493322
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9
Stocking under random demand and product variety : exact models and heuristics
Ghosh, Vashkar
;
Paul, Anand
;
Zhu, Lingjiong
- In:
Production and operations management : the flagship …
31
(
2022
)
3
,
pp. 1006-1032
Persistent link: https://www.econbiz.de/10013164032
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10
On the optimal design of the randomized unbiased Monte Carlo estimators
Cui, Zhenyu
;
Lee, Chihoon
;
Zhu, Lingjiong
;
Zhu, Yunfan
- In:
Operations research letters
49
(
2021
)
4
,
pp. 477-484
Persistent link: https://www.econbiz.de/10012649016
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