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Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models
Zeng, Pingping; Kwok, Yue-Kuen; Zheng, Wendong - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-26
Persistent link: https://www.econbiz.de/10011404362
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Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
Zeng, Pingping; Xu, Ziqing; Jiang, Pingping; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 842-890
Persistent link: https://www.econbiz.de/10014329916
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Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
Zhang, Weinan; Zeng, Pingping; Kwok, Yue-Kuen - In: Operations research letters 51 (2023) 6, pp. 687-694
Persistent link: https://www.econbiz.de/10014465892
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Analytical Solvability and Exact Simulation of Stochastic Volatility Models with Jumps
Zeng, Pingping; Xu, Ziqing; Jiang, Pingping; Kwok, Yue-Kuen - 2021
We perform a thorough investigation on the analytical solvability of general stochastic volatility (SV) models with Levy jumps and propose a unified, accurate, and efficient almost exact simulation method to price various financial derivatives. Our theoretical results lay a foundation for a...
Persistent link: https://www.econbiz.de/10014087674
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Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
Zheng, Wendong; Yuen, Chi Hung; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10011455019
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Closed form pricing formulas for discretely sampled generalized variance swaps
Zheng, Wendong; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 855-881
Persistent link: https://www.econbiz.de/10011308159
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Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
Yuen, Chi Hung; Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 22 (2015) 5/6, pp. 421-449
Persistent link: https://www.econbiz.de/10011490606
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Convexity meets replication : hedging of swap derivatives and annuity options
Zheng, Wendong; Kwok, Yue-Kuen - In: The journal of futures markets 31 (2011) 7, pp. 659-678
Persistent link: https://www.econbiz.de/10009009213
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Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 21 (2014) 1/2, pp. 1-31
Persistent link: https://www.econbiz.de/10010351861
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Pricing models of volatility products and exotic variance derivatives
Kwok, Yue-Kuen; Zheng, Wendong - 2022 - First edition
1. Volatility Trading and Variance Derivatives. 1.1. Implied Volatility and Local Volatility. 1.2. Volatility Trading using Options. 1.3. Derivatives on Discrete Realized Variance. 1.4. Replication of Variance Swaps. 1.5. Practical Implementation of Replication: Finite Strikes and Discrete...
Persistent link: https://www.econbiz.de/10013460707