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Analysis of Markov chain approximation for option pricing and hedging : grid design and convergence behavior
Zhang, Gongqiu; Li, Lingfei - In: Operations research 67 (2019) 2, pp. 407-427
Persistent link: https://www.econbiz.de/10012022365
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Pure jump models for pricing and hedging VIX derivatives
Li, Jing; Li, Lingfei; Zhang, Gongqiu - In: Journal of economic dynamics & control 74 (2017), pp. 28-55
Persistent link: https://www.econbiz.de/10011740472
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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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A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
Chen, Jie; Fan, Liaoyuan; Li, Lingfei; Zhang, Gongqiu - In: Review of derivatives research 25 (2022) 2, pp. 189-232
Persistent link: https://www.econbiz.de/10013457614
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A two-step framework for arbitrage-free prediction of the implied volatility surface
Zhang, Wenyong; Li, Lingfei; Zhang, Gongqiu - In: Quantitative finance 23 (2023) 1, pp. 21-34
Persistent link: https://www.econbiz.de/10013490950
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Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei; Linetsky, Vadim - In: Finance and stochastics 19 (2015) 4, pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
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Additive subordination and its applications in finance
Li, Jing; Li, Lingfei; Mendoza-Arriaga, Rafael - In: Finance and stochastics 20 (2016) 3, pp. 589-634
Persistent link: https://www.econbiz.de/10011531020
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Evaluating callable and putable bonds : an eigenfunction expansion approach
Lim, Dongjae; Li, Lingfei; Linetsky, Vadim - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1888-1908
Persistent link: https://www.econbiz.de/10009701917
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Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
Li, Lingfei; Mendoza-Arriaga, Rafael - In: Operations research letters 41 (2013) 5, pp. 521-525
Persistent link: https://www.econbiz.de/10010191968