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Zhu, Lingjiong - In: Risks : open access journal 3 (2015) 3, pp. 234-249

In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black-Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the...

Persistent link: https://www.econbiz.de/10011300319

Short maturity options for Azéma-Yor martingales

Zhu, Lingjiong - In: International journal of financial engineering 2 (2015) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10011493322

Stocking under random demand and product variety : exact models and heuristics

Ghosh, Vashkar; Paul, Anand; Zhu, Lingjiong - In: Production and operations management : the flagship … 31 (2022) 3, pp. 1006-1032

Persistent link: https://www.econbiz.de/10013164032

On the optimal design of the randomized unbiased Monte Carlo estimators

Cui, Zhenyu; Lee, Chihoon; Zhu, Lingjiong; Zhu, Yunfan - In: Operations research letters 49 (2021) 4, pp. 477-484

Persistent link: https://www.econbiz.de/10012649016

Operational risk management : a stochastic control framework with preventive and corrective controls

Xu, Yuqian; Zhu, Lingjiong; Pinedo, Michael - In: Operations research 68 (2020) 6, pp. 1804-1825

Persistent link: https://www.econbiz.de/10012392162

On the variance of single-run unbiased stochastic derivative estimators

Cui, Zhenyu; Fu, Michael; Hu, Jian-Qiang; Liu, Yanchu; … - In: INFORMS journal on computing : JOC 32 (2020) 2, pp. 390-407

Persistent link: https://www.econbiz.de/10012242769

Optimal unbiased estimation for expected cumulative discounted cost

Cui, Zhenyu; Fu, Michael; Peng, Yijie; Zhu, Lingjiong - In: European journal of operational research : EJOR 286 (2020) 2, pp. 604-618

Persistent link: https://www.econbiz.de/10012291551

A reduced-form model for level-1 limit order books

Yang, Tzu-Wei; Zhu, Lingjiong - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10011588249

Small-noise limit of the quasi-Gaussian log-normal HJM model

Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 45 (2017) 1, pp. 6-11

Persistent link: https://www.econbiz.de/10011687046

Discrete sums of geometric Brownian motions, annuities and Asian options

Pirjol, Dan; Zhu, Lingjiong - In: Insurance / Mathematics & economics 70 (2016), pp. 19-37

Persistent link: https://www.econbiz.de/10011597130