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Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Feng, Liming; Linetsky, Vadim - In: Finance and stochastics 13 (2009) 4, pp. 501-529
Persistent link: https://www.econbiz.de/10003899518
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Computational methods for Levy and jump diffusion processes : applications in financial engineering
Feng, Liming - 2006
Persistent link: https://www.econbiz.de/10003908099
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Quadratic finite element and preconditioning methods for options pricing in the SVCY model
Zhang, Ying-ying; Pang, Hong-kui; Feng, Liming; Jin, … - In: The journal of computational finance 17 (2013/14) 3, pp. 3-30
Persistent link: https://www.econbiz.de/10010366298
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Pricing discretely monitored barrier options and defaultable bonds in Lévy process models : a fast Hilbert transform approach
Feng, Liming; Linetsky, Vadim - In: Mathematical finance : an international journal of … 18 (2008) 3, pp. 337-384
Persistent link: https://www.econbiz.de/10003752266
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Variational methods in derivatives pricing
Feng, Liming; Kovalov, Pavlo; Linetsky, Vadim; … - In: Financial engineering, (pp. 301-342). 2008
Persistent link: https://www.econbiz.de/10003567137