Similar Search Results

Narrow search

Sensitivities of Asian options in the black-scholes model

Pirjol, Dan; Zhu, Lingjiong - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011846502

Short maturity forward start Asian options in local volatility models

Pirjol, Dan; Wang, Jing; Zhu, Lingjiong - In: Applied mathematical finance 26 (2019) 3, pp. 187-221

Persistent link: https://www.econbiz.de/10012210271

Detecting and identifying arbitrage in the spot foreign exchange market

Cui, Zhenyu; Qian, Wenhan; Taylor, Stephen; Zhu, Lingjiong - In: Quantitative finance 20 (2020) 1, pp. 119-132

Persistent link: https://www.econbiz.de/10012194858

Asymptotics for short maturity Asian options in jump-diffusion models with local volatility

Pirjol, Dan; Zhu, Lingjiong - In: Quantitative finance 24 (2024) 3/4, pp. 433-449

Persistent link: https://www.econbiz.de/10014552074

Optimal batch size and process setting in light-emitting diode (LED) coproduction processes

Ghosh, Vashkar; Paul, Anand; Yang, Zhechao; Zhu, Lingjiong - In: Production and operations management : the flagship … 33 (2024) 5, pp. 1099-1115

Persistent link: https://www.econbiz.de/10014576987

Approximate variational estimation for a model of network formation

Mele, Angelo; Zhu, Lingjiong - In: The review of economics and statistics 105 (2023) 1, pp. 113-124

Persistent link: https://www.econbiz.de/10014293245

In memory of Peter Carr : 1958-2022

Campolieti, Giuseppe; Fahim, Arash; Pirjol, Dan; Stein, … - In: Risks : open access journal 12 (2024) 2, pp. 1-6

The editors of this special issue and several of the contributing authors have known Peter for a long time. We thought that the special issue will be enriched by adding a few personal notes and recollections about our interactions with Peter.

Persistent link: https://www.econbiz.de/10014497329

Explicit solution to the economic index of riskiness

Cui, Zhenyu; Wu, Cai; Zhu, Lingjiong - In: Economics letters 232 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014464164

Short-maturity asymptotics for option prices with interest rate effects

Pirjol, Dan; Zhu, Lingjiong - In: International journal of theoretical and applied … 26 (2023) 6/7, pp. 1-28

Persistent link: https://www.econbiz.de/10014500189

Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion

Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 51 (2023) 3, pp. 346-352

Persistent link: https://www.econbiz.de/10014374962

A service of the

zbw