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Error analysis of finite difference and Markov chain approximations for option pricing
Li, Lingfei; Zhang, Gongqiu - In: Mathematical finance : an international journal of … 28 (2018) 3, pp. 877-919
Persistent link: https://www.econbiz.de/10011969078
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Pricing American drawdown options under Markov models
Zhang, Xiang; Li, Lingfei; Zhang, Gongqiu - In: European journal of operational research : EJOR 293 (2021) 3, pp. 1188-1205
Persistent link: https://www.econbiz.de/10012533822
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Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
Meier, Christian; Li, Lingfei; Zhang, Gongqiu - In: European journal of operational research : EJOR 305 (2023) 3, pp. 1292-1308
Persistent link: https://www.econbiz.de/10013498792
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A general approach for lookback option pricing under Markov models
Zhang, Gongqiu; Li, Lingfei - In: Quantitative finance 23 (2023) 9, pp. 1305-1324
Persistent link: https://www.econbiz.de/10014339927
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A general method for analysis and valuation of drawdown risk
Zhang, Gongqiu; Li, Lingfei - In: Journal of economic dynamics & control 152 (2023), pp. 1-37
Persistent link: https://www.econbiz.de/10014427618