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Inventory control for spectrally positive Lévy demand processes

Yamazaki, Kazutoshi - In: Mathematics of operations research 42 (2017) 1, pp. 212-237

Persistent link: https://www.econbiz.de/10011654629

Pricing double-barrier options under a flexible jump diffusion model

Cai, Ning; Chen, Nan; Wan, Xiangwei - In: Operations research letters 37 (2009) 3, pp. 163-167

Persistent link: https://www.econbiz.de/10003903887

Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options

Cai, Ning; Chen, Nan; Wan, Xiangwei - In: Mathematics of operations research 35 (2010) 2, pp. 412-437

Persistent link: https://www.econbiz.de/10003985724

Localization and exact simulation of Brownian motion-driven stochastic differential equations

Chen, Nan; Huang, Zhengyu - In: Mathematics of operations research 38 (2013) 3, pp. 591-616

Persistent link: https://www.econbiz.de/10009787357

Brownian meanders, importance sampling and unbiased simulation of diffusion extremes

Chen, Nan; Huang, Zhengyu - In: Operations research letters 40 (2012) 6, pp. 554-563

Persistent link: https://www.econbiz.de/10009717283

Approximate arbitrage-free option pricing under the SABR model

Yang, Nian; Chen, Nan; Liu, Yanchu; Wan, Xiangwei - In: Journal of economic dynamics & control 83 (2017), pp. 198-214

Persistent link: https://www.econbiz.de/10011915586

Exact simulation of the SABR model

Cai, Ning; Song, Yingda; Chen, Nan - In: Operations research 65 (2017) 4, pp. 931-951

Persistent link: https://www.econbiz.de/10011739058

Condition-based maintenance using the inverse Gaussian degradation model

Chen, Nan; Ye, Zhi-Sheng; Xiang, Yisha; Zhang, Linmiao - In: European journal of operational research : EJOR 243 (2015) 1, pp. 190-199

Persistent link: https://www.econbiz.de/10010492974

Approximate Arbitrage-Free Option Pricing Under the SABR Model

Yang, Nian - 2017

The stochastic-alpha-beta-rho (SABR) model introduced by Hagan et al. (2002) provides a popular vehicle to model the implied volatilities in the interest rate and foreign exchange markets. To exclude arbitrage opportunities, we need to specify an absorbing boundary at zero for this model, which...

Persistent link: https://www.econbiz.de/10012967755

The principle of not feeling the boundary for the SABR model

Chen, Nan; Yang, Nian - In: Quantitative finance 19 (2019) 3, pp. 427-436

Persistent link: https://www.econbiz.de/10012194662