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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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Dynamic portfolio selection with mispricing and model ambiguity
Yi, Bo; Viens, Frederi G.; Law, Baron; Li, Zhongfei - In: Annals of finance 11 (2015) 1, pp. 37-75
Persistent link: https://www.econbiz.de/10011376170
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Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
Yao, Haixiang; Li, Zhongfei; Li, Duan - In: European journal of operational research : EJOR 252 (2016) 3, pp. 837-851
Persistent link: https://www.econbiz.de/10011472346
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Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Wang, Pei; Li, Zhongfei - In: Insurance / Mathematics & economics 80 (2018), pp. 67-83
Persistent link: https://www.econbiz.de/10011872914
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Dividend optimization for jump-diffusion model with solvency constraints
Li, Yongwu; Li, Zhongfei; Wang, Shouyang; Xu, Zuo Quan - In: Operations research letters 48 (2020) 2, pp. 170-175
Persistent link: https://www.econbiz.de/10012254035
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Asset allocation for a DC pension fund with stochastic income and mortality risk : a multi-period mean–variance framework
Yao, Haixiang; Lai, Yongzeng; Ma, Qinghua; Jian, Minjie - In: Insurance / Mathematics & economics 54 (2014), pp. 84-92
Persistent link: https://www.econbiz.de/10010259667
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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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Optimal asset allocation with heterogeneous discounting and stochastic income under CEV model
Li, Danping; Lai, Yongzeng; Li, Lin - In: Journal of the Operational Research Society 71 (2020) 12, pp. 2013-2026
Persistent link: https://www.econbiz.de/10012314419