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Options with extreme strikes
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
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Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
Zhu, Lingjiong - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 544-550
Persistent link: https://www.econbiz.de/10010227943
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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
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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
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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
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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
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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
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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
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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
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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