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Valuation of VIX and Target Volatility Options with Affine GARCH Models

Cao, Hongkai - 2020

In this paper we propose semi-closed-form solutions, subject to an inversion of the Fourier transform, for the price of VIX options and target volatility options (TVOs) under affine GARCH models based on Gaussian and Inverse Gaussian distributions. We illustrate the advantage of the proposed...

Persistent link: https://www.econbiz.de/10012828387

A general framework for time-changed Markov processes and applications

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800

Persistent link: https://www.econbiz.de/10011987591

Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits

Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 602-648

Persistent link: https://www.econbiz.de/10011987648

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

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

A note on the Wang transform for stochastic volatility pricing models

Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Finance research letters 19 (2016), pp. 189-196

Persistent link: https://www.econbiz.de/10011657622

Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: Insurance / Mathematics & economics 74 (2017), pp. 46-62

Persistent link: https://www.econbiz.de/10011712358

A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 262 (2017) 1, pp. 381-400

Persistent link: https://www.econbiz.de/10011785790

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

On the martingale property in stochastic volatility models based on time-homogeneous diffusions

Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 194-223

Persistent link: https://www.econbiz.de/10011739452