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A reduced-form model for level-1 limit order books

Yang, Tzu-Wei; Zhu, Lingjiong - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10011588249

Zhu, Lingjiong - In: Risks : open access journal 3 (2015) 3, pp. 234-249

In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black-Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the...

Persistent link: https://www.econbiz.de/10011300319

Short maturity options for Azéma-Yor martingales

Zhu, Lingjiong - In: International journal of financial engineering 2 (2015) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10011493322

Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims

Zhu, Lingjiong - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 544-550

Persistent link: https://www.econbiz.de/10010227943

A risk analysis for a system stabilized by a central agent

Garnier, Josselin; Papanicolaou, George; Yang, Tzu-Wei - In: Risk and decision analysis 6 (2017) 2, pp. 97-120

Persistent link: https://www.econbiz.de/10011743825

Limit order trading with a mean reverting reference price

Ahuja, Saran; Papanicolaou, George; Ren, Weiluo; Yang, … - In: Risk and decision analysis 6 (2017) 2, pp. 121-136

Persistent link: https://www.econbiz.de/10011743827

On the variance of single-run unbiased stochastic derivative estimators

Cui, Zhenyu; Fu, Michael; Hu, Jian-Qiang; Liu, Yanchu; … - In: INFORMS journal on computing : JOC 32 (2020) 2, pp. 390-407

Persistent link: https://www.econbiz.de/10012242769

Small-noise limit of the quasi-Gaussian log-normal HJM model

Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 45 (2017) 1, pp. 6-11

Persistent link: https://www.econbiz.de/10011687046

Explosion in the quasi-Gaussian HJM model

Pirjol, Dan; Zhu, Lingjiong - In: Finance and stochastics 22 (2018) 3, pp. 643-666

Persistent link: https://www.econbiz.de/10011945882

Transform analysis for Hawkes processes with applications in dark pool trading

Gao, Xuefeng; Zhou, Xiang; Zhu, Lingjiong - In: Quantitative finance 18 (2018) 2, pp. 265-282

Persistent link: https://www.econbiz.de/10011905921