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Pricing double-barrier options under a flexible jump diffusion model
Cai, Ning; Chen, Nan; Wan, Xiangwei - In: Operations research letters 37 (2009) 3, pp. 163-167
Persistent link: https://www.econbiz.de/10003903887
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American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach
Chen, Nan; Liu, Yanchu - In: Operations research 62 (2014) 3, pp. 616-632
Persistent link: https://www.econbiz.de/10010381847
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Game options analysis of the information role of call policies in convertible bonds
Leung, Chi Man; Chen, Nan; Kwok, Yue-Kuen - In: Applied mathematical finance 22 (2015) 3/4, pp. 297-335
Persistent link: https://www.econbiz.de/10011436213
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Exact simulation of the SABR model
Cai, Ning; Song, Yingda; Chen, Nan - In: Operations research 65 (2017) 4, pp. 931-951
Persistent link: https://www.econbiz.de/10011739058
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Connecting discrete and continuous path-dependent options
Broadie, Mark; Glasserman, Paul; Kou, S. G. - In: Finance and stochastics 3 (1999) 1, pp. 55-82
Persistent link: https://www.econbiz.de/10001367460
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Numerical pricing of discrete barrier and lookback options via Laplace transforms
Petrella, Giovanni; Kou, Steven - In: The journal of computational finance 8 (2004) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10002390569
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Option pricing under a mixed-exponential jump diffusion model
Cai, Ning; Kou, Steven - In: Management science : journal of the Institute for … 57 (2011) 11, pp. 2067-2081
Persistent link: https://www.econbiz.de/10009406274
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Pricing Asian options under a hyper-exponential jump diffusion model
Cai, Ning; Kou, Steven - In: Operations research 60 (2012) 1, pp. 64-77
Persistent link: https://www.econbiz.de/10009532669
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Pricing path-dependent options with jump risk via Laplace transforms
Kou, Steven; Petrella, Giovanni; Wang, Hui - In: The Kyoto economic review 74 (2005) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10003379381
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Computable error bounds of Laplace inversion for pricing asian options
Song, Yingda; Cai, Ning; Kou, Steven - In: INFORMS journal on computing : JOC 30 (2018) 4, pp. 634-645
Persistent link: https://www.econbiz.de/10011966537