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Full‐fledged SABR Through Markov Chains
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: Wilmott 2019 (2019) 102, pp. 74-81
Persistent link: https://www.econbiz.de/10012274275
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Valuation of VIX and target volatility options with affine GARCH models
Cao, Hongkai; Badescu, Alexandru; Cui, Zhenyu; … - In: Journal of Futures Markets 40 (2020) 12, pp. 1880-1917
Persistent link: https://www.econbiz.de/10012406788
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An efficient and stable method for short maturity Asian options
Chatterjee, Rupak; Cui, Zhenyu; Fan, Jiacheng; Liu, Mingzhe - In: Journal of Futures Markets 38 (2018) 12, pp. 1470-1486
Persistent link: https://www.econbiz.de/10012082149
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The opportunity cost of hedging under incomplete information : Evidence from ETF/Ns
Cui, Zhenyu; Simaan, Majeed - In: Journal of Futures Markets 41 (2021) 11, pp. 1775-1796
Persistent link: https://www.econbiz.de/10012632631