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Nearly exact option price simulation using characteristic functions

Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29

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Prices and asymptotics for discrete variance swaps

Bernard, Carole; Cui, Zhenyu - In: Applied mathematical finance 21 (2014) 1/2, pp. 140-173

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On the martingale property in stochastic volatility models based on time-homogeneous diffusions

Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 194-223

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On the Martingale Property in Stochastic Volatility Models Based on Time-Homogeneous Diffusions

Bernard, Carole - 2014

Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi c and Urusov (2012c) give necessary and sufficient conditions in the case of...

Persistent link: https://www.econbiz.de/10013062701

Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models

Ding, Kailin; Cui, Zhenyu; Liu, Yanchu - In: The journal of futures markets 43 (2023) 12, pp. 1750-1769

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VIX derivatives valuation and estimation based on closed-form series expansions

Zhao, Zhe; Cui, Zhenyu; Florescu, Ionuţ - In: International journal of financial engineering 5 (2018) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10011923012

A general framework for time-changed Markov processes and applications

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800

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Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits

Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 602-648

Persistent link: https://www.econbiz.de/10011987648

Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: Insurance / Mathematics & economics 74 (2017), pp. 46-62

Persistent link: https://www.econbiz.de/10011712358

Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes

Lian, Guanghua; Zhu, Song-Ping; Elliott, Robert J.; … - In: Journal of banking & finance 75 (2017), pp. 167-183

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