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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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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 262 (2017) 1, pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
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A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars; Nguyen, Duy; Cui, Zhenyu - In: Journal of economic dynamics & control 80 (2017), pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
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Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
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A note on the Wang transform for stochastic volatility pricing models
Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Finance research letters 19 (2016), pp. 189-196
Persistent link: https://www.econbiz.de/10011657622
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Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664