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accessRights:"restricted"
~person:"Chang, Kuang-Liang"
~person:"Cui, Zhenyu"
~person:"Legros, Benjamin"
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Markov chain
23
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23
Option pricing theory
9
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8
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8
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Chang, Kuang-Liang
Cui, Zhenyu
Legros, Benjamin
Tsionas, Efthymios G.
17
Gupta, Rangan
13
Elliott, Robert J.
11
Serletis, Apostolos
11
Siu, Tak Kuen
9
Xu, Libo
9
Casarin, Roberto
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8
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7
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7
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7
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7
Li, Yong
7
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7
Ma, Feng
7
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7
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7
Shi, Yanlin
7
Sola, Martin
7
Banik, A. D.
6
Billio, Monica
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D'Amico, Guglielmo
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Dimitrakopoulos, Stefanos
6
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Guo, Xianping
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5
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European journal of operational research : EJOR
6
Operations research letters
3
International review of economics & finance : IREF
2
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2
The North American journal of economics and finance : a journal of financial economics studies
2
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ECONIS (ZBW)
23
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1
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
2
The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang
- In:
Journal of international money and finance
133
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
Saved in:
3
Pricing discretely monitored barrier options under Markov processes through markov chain approximation
Cui, Zhenyu
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 8-33
Persistent link: https://www.econbiz.de/10012486028
Saved in:
4
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
5
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
Saved in:
6
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Saved in:
7
Age-based Markovian approximation of the G/M/1 queue
Legros, Benjamin
- In:
Operations research letters
49
(
2021
)
5
,
pp. 708-714
Persistent link: https://www.econbiz.de/10013207432
Saved in:
8
Late-rejection, a strategy to perform an overflow policy
Legros, Benjamin
- In:
European journal of operational research : EJOR
281
(
2020
)
1
,
pp. 66-76
Persistent link: https://www.econbiz.de/10012153443
Saved in:
9
An investigation on mixed housing-cycle structures and asymmetric tail dependences
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658920
Saved in:
10
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang
;
Lee, Chingnun
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
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