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Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends
Ma, Jingtang; Fan, Jiacheng - In: The North American journal of economics and finance : a … 37 (2016), pp. 128-147
Persistent link: https://www.econbiz.de/10011672905
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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
Persistent link: https://www.econbiz.de/10014433005
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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
Persistent link: https://www.econbiz.de/10009685897
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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
Persistent link: https://www.econbiz.de/10010352006
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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
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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
Persistent link: https://www.econbiz.de/10011987591
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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
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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
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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
Persistent link: https://www.econbiz.de/10011739452
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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
Persistent link: https://www.econbiz.de/10011742159