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Analytical representations for the basic affine jump diffusion
Li, Lingfei; Mendoza-Arriaga, Rafael; Mitchell, Daniel - In: Operations research letters 44 (2016) 1, pp. 121-128
Persistent link: https://www.econbiz.de/10011455591
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Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
Li, Lingfei; Mendoza-Arriaga, Rafael - In: Operations research letters 41 (2013) 5, pp. 521-525
Persistent link: https://www.econbiz.de/10010191968
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Data-driven hedging of stock index options via deep learning
Chen, Jie; Li, Lingfei - In: Operations research letters 51 (2023) 4, pp. 408-413
Persistent link: https://www.econbiz.de/10014426577
Cover Image
Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
Li, Lingfei; Mendoza-Arriaga, Rafael - In: Operations research letters 41 (2013) 5, pp. 521-525
Persistent link: https://www.econbiz.de/10010175170