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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
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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
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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
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Convergence Rate Analysis for the Continuous-Time Markov Chain Approximation of Occupation Time Derivatives and Asian Option Greeks
Ma, Jingtang - 2019
method for pricing continuously monitored occupation time derivatives (step options, conditional Asian options) and … arithmetic Asian options and their Greeks. We fill the gap in the current literature on the analysis of CTMC approximation errors … for pricing Asian options by not only rigorously proving the exact second order convergence rate but also developing …
Persistent link: https://www.econbiz.de/10012896119
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Nearly exact option price simulation using characteristic functions
Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
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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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A closed-form model-free implied volatility formula through delta families
Cui, Zhenyu; Kirkby, Justin; Nguyen, Duy; Taylor, Stephen - In: The journal of derivatives : JOD 28 (2021) 4, pp. 111-127
Persistent link: https://www.econbiz.de/10012612926
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A Laplace Space Approach to American Options
Ma, Jingtang - 2016
In this paper, we extend the lower-upper bound approximation (LUBA) idea of Broadie and Detemple [Broadie, M., Detemple, J., (1996) American option valuation: New bounds, approximations, and comparison of existing methods. Review of Financial Studies. 9(4): 1211-1250] to the Laplace space. We...
Persistent link: https://www.econbiz.de/10012995888
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Hybrid Laplace Transform and Finite Difference Methods for Pricing American Options under Complex Models
Ma, Jingtang - 2017
options, which is applicable to a wide variety of asset price models including the constant elasticity of variance (CEV … prices of American options are recovered through inverse Laplace transforms. Numerical examples demonstrate the accuracy and …
Persistent link: https://www.econbiz.de/10012953834
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An Efficient and Stable Method for Short Maturity Asian Options
Chatterjee, Rupak - 2017
In this paper, we develop a Markov chain-based approximation method to price arithmetic Asian options for short … options for which previous methods in the literature have shown either slower convergence or instabilities in hedging … parameters. We also consider the pricing and hedging of floating-strike Asian options and fixed-strike in-progress Asian options …
Persistent link: https://www.econbiz.de/10012954544