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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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2
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
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3
Transform analysis for Hawkes processes with applications in dark pool trading
Gao, Xuefeng
;
Zhou, Xiang
;
Zhu, Lingjiong
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 265-282
Persistent link: https://www.econbiz.de/10011905921
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4
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
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5
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
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6
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
Saved in:
7
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
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8
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
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9
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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10
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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