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Markov chain approximation
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Li, Lingfei
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European journal of operational research : EJOR
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ECONIS (ZBW)
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Pricing and hedging autocallable products by Markov chain approximation
Cui, Yeda
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Review of derivatives research
27
(
2024
)
3
,
pp. 259-303
Persistent link: https://www.econbiz.de/10015133991
Saved in:
2
Pricing American drawdown options under Markov models
Zhang, Xiang
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
European journal of operational research : EJOR
293
(
2021
)
3
,
pp. 1188-1205
Persistent link: https://www.econbiz.de/10012533822
Saved in:
3
Error analysis of finite difference and Markov chain approximations for option pricing
Li, Lingfei
;
Zhang, Gongqiu
- In:
Mathematical finance : an international journal of …
28
(
2018
)
3
,
pp. 877-919
Persistent link: https://www.econbiz.de/10011969078
Saved in:
4
A general method for analysis and valuation of drawdown risk
Zhang, Gongqiu
;
Li, Lingfei
- In:
Journal of economic dynamics & control
152
(
2023
),
pp. 1-37
Persistent link: https://www.econbiz.de/10014427618
Saved in:
5
Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
Meier, Christian
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
European journal of operational research : EJOR
305
(
2023
)
3
,
pp. 1292-1308
Persistent link: https://www.econbiz.de/10013498792
Saved in:
6
A general approach for Parisian stopping times under Markov processes
Zhang, Gongqiu
;
Li, Lingfei
- In:
Finance and stochastics
27
(
2023
)
3
,
pp. 769-829
Persistent link: https://www.econbiz.de/10014328990
Saved in:
7
A general approach for lookback option pricing under Markov models
Zhang, Gongqiu
;
Li, Lingfei
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1305-1324
Persistent link: https://www.econbiz.de/10014339927
Saved in:
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