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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

Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization

Ma, Jingtang; Li, Wenyuan; Zheng, Harry - In: European journal of operational research : EJOR 262 (2017) 3, pp. 851-862

Persistent link: https://www.econbiz.de/10011802243

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

An integral equation method with high-order collocation implementations for pricing American put options

Ma, Jingtang; Xiang, Kaili; Jiang, Yingjun - In: International journal of economics and finance 2 (2010) 4, pp. 102-112

Persistent link: https://www.econbiz.de/10009313327

Integral equation methods for pricing perpetual Bermudan options

Ma, Jingtang; Luo, Peng - In: Journal of applied finance & banking 2 (2012) 3, pp. 51-64

This paper develops integral equation methods to the pricing problems of perpetual Bermudan options. By mathematical derivation, the optimal exercise boundary of perpetual Bermudan options can be determined by an integral-form nonlinear equation which can be solved by a root-finding algorithm....

Persistent link: https://www.econbiz.de/10009565380

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