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Stochastic lattice models for valuation of volatility options

Ma, Jingtang; Li, Wenyuan; Han, Xu - In: Economic modelling 47 (2015), pp. 93-104

Persistent link: https://www.econbiz.de/10011438895

Explicit approximate analytic formulas for timer option pricing with stochastic interest rates

Ma, Jingtang; Deng, Dongya; Lai, Yongzeng - In: The North American journal of economics and finance : a … 34 (2015), pp. 1-21

Persistent link: https://www.econbiz.de/10011539653

Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model

Ma, Jingtang; Li, Wenyuan; Zheng, Harry - In: European journal of operational research : EJOR 280 (2020) 2, pp. 428-440

Persistent link: https://www.econbiz.de/10012132415

Optimal investment strategies for general utilities under dynamic elasticity of variance models

Li, Wenyuan; Ma, Jingtang - In: Quantitative finance 18 (2018) 8, pp. 1379-1388

Persistent link: https://www.econbiz.de/10011911546

CTMC integral equation method for American options under stochastic local volatility models

Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012628259

Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates

Yang, Wensheng; Ma, Jingtang; Cui, Zhenyu - In: Mathematical methods of operations research : ZOR 93 (2021) 2, pp. 359-412

Persistent link: https://www.econbiz.de/10012548535

Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends

Ma, Jingtang; Fan, Jiacheng - In: The North American journal of economics and finance : a … 37 (2016), pp. 128-147

Persistent link: https://www.econbiz.de/10011672905

A fast algorithm for simulation of rough volatility models

Ma, Jingtang; Wu, Haofei - In: Quantitative finance 22 (2022) 3, pp. 447-462

Persistent link: https://www.econbiz.de/10013167769

An efficient and provable sequential quadratic programming method for American and swing option pricing

Shen, Jinye; Ma, Jingtang - In: European journal of operational research : EJOR 316 (2024) 1, pp. 19-35

Persistent link: https://www.econbiz.de/10014566281

Convergence Analysis for Continuous-Time Markov Chain Approximation of Stochastic Local Volatility Models : Option Pricing and Greeks

Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - 2020

This paper establishes the precise second order convergence rates of the continuous-time Markov chain (CTMC) approximation method for pricing options and calculating its Greeks under the general framework of stochastic local volatility models, which include the Heston and SABR models as special...

Persistent link: https://www.econbiz.de/10014349082