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Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
Lai, Yongzeng; Li, Zhongfei; Zeng, Yan - In: IMA journal of management mathematics 26 (2015) 1, pp. 11-37
Persistent link: https://www.econbiz.de/10011376988
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
A, Chunxiang; Li, Zhongfei - In: Insurance / Mathematics & economics 61 (2015), pp. 181-196
Persistent link: https://www.econbiz.de/10010515891
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Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Zeng, Yan; Li, Danping; Gu, Ailing - In: Insurance / Mathematics & economics 66 (2016), pp. 138-152
Persistent link: https://www.econbiz.de/10011442729
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Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Li, Danping; Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 78 (2018), pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
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Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan - 2023
Persistent link: https://www.econbiz.de/10014336459
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Generalized control variate methods for pricing Asian options
Han, Chuan-Hsiang; Lai, Yongzeng - In: The journal of computational finance 14 (2010/11) 2, pp. 87-118
Persistent link: https://www.econbiz.de/10008810127
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Variance reduction for MC/QMC methods to evaluate option prices
Fouque, Jean-Pierre; Han, Chuan-Hsiang; Lai, Yongzeng - In: Recent advances in financial engineering : proceedings …, (pp. 27-48). 2009
Persistent link: https://www.econbiz.de/10003871156
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Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Ma, Jingtang; Deng, Dongya; Lai, Yongzeng - In: The North American journal of economics and finance : a … 34 (2015), pp. 1-21
Persistent link: https://www.econbiz.de/10011539653
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Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models
Zhang, Ling; Lai, Yongzeng; Zhang, Shuhua; Li, Lin - In: The North American journal of economics and finance : a … 47 (2019), pp. 602-621
Persistent link: https://www.econbiz.de/10012120139