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73
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Cui, Zhenyu
Madan, Dilip B.
90
Härdle, Wolfgang
73
Hu, Yingyao
71
Fabozzi, Frank J.
67
Joshi, Mark S.
66
Carr, Peter
60
Takahashi, Akihiko
59
Schoutens, Wim
57
Nijkamp, Peter
55
Chiarella, Carl
53
Stentoft, Lars
52
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49
Baltagi, Badi H.
47
Lee, Lung-fei
47
Jacobs, Kris
46
Hull, John
42
Wystup, Uwe
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Benth, Fred Espen
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Fischer, Manfred M.
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Kwok, Yue-Kuen
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Lesage, James P.
37
Oosterlee, Cornelis W.
36
Belomestny, Denis
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Jarrow, Robert A.
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Schlögl, Erik
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Chesney, Marc
33
Kim, Young Shin
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Fusai, Gianluca
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Lewbel, Arthur
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Wang, Xingchun
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Fingleton, Bernard
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Korn, Ralf
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Siu, Tak Kuen
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Zhang, Jin E.
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Barone-Adesi, Giovanni
30
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European journal of operational research : EJOR
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Stevens Institute of Technology School of Business Research Paper
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International journal of financial engineering
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3
The journal of derivatives : JOD
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ECONIS (ZBW)
73
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Integral representation of vega for American put options
Liu, Yanchu
;
Cui, Zhenyu
;
Zhang, Ning
- In:
Finance research letters
19
(
2016
),
pp. 204-208
Persistent link: https://www.econbiz.de/10011657637
Saved in:
6
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Andrikopoulos, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Application of operations research to financial markets
,
(pp. 27-57)
.
2019
Persistent link: https://www.econbiz.de/10012157341
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
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