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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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A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars; Nguyen, Duy; Cui, Zhenyu - In: Journal of economic dynamics & control 80 (2017), pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
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Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
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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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Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations
Cui, Zhenyu - 2020
We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems … based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation … and the stochastic alpha beta rho (SABR) models as special cases. Our simulation algorithm is constructed based on …
Persistent link: https://www.econbiz.de/10012823283
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Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
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Nearly Exact Option Price Simulation Using Characteristic Functions
Bernard, Carole - 2014
This paper presents a new approach to perform a nearly unbiased simulation using inversion of the characteristic … and of continuously monitored Parisian options in the Black-Scholes framework. This method of simulation can be applied to …
Persistent link: https://www.econbiz.de/10013065792
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On the Optimal Design of the Randomized Unbiased Monte Carlo Estimators
Cui, Zhenyu - 2019
In recent literature, a new class of unbiased Monte Carlo estimators have been proposed, which is based on truncating a telescopic representation of the expectation of a functional of the stochastic process at an independent random level. The generality of the method lies in that it can...
Persistent link: https://www.econbiz.de/10012889593
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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
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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