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Short maturity options for Azéma-Yor martingales

Zhu, Lingjiong - In: International journal of financial engineering 2 (2015) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10011493322

Zhu, Lingjiong - In: Risks : open access journal 3 (2015) 3, pp. 234-249

In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black-Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the...

Persistent link: https://www.econbiz.de/10011300319

Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion

Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 51 (2023) 3, pp. 346-352

Persistent link: https://www.econbiz.de/10014374962

Transform analysis for Hawkes processes with applications in dark pool trading

Gao, Xuefeng; Zhou, Xiang; Zhu, Lingjiong - In: Quantitative finance 18 (2018) 2, pp. 265-282

Persistent link: https://www.econbiz.de/10011905921

Small-noise limit of the quasi-Gaussian log-normal HJM model

Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 45 (2017) 1, pp. 6-11

Persistent link: https://www.econbiz.de/10011687046

Discrete sums of geometric Brownian motions, annuities and Asian options

Pirjol, Dan; Zhu, Lingjiong - In: Insurance / Mathematics & economics 70 (2016), pp. 19-37

Persistent link: https://www.econbiz.de/10011597130

A reduced-form model for level-1 limit order books

Yang, Tzu-Wei; Zhu, Lingjiong - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10011588249

Sensitivities of Asian options in the black-scholes model

Pirjol, Dan; Zhu, Lingjiong - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011846502

Optimal batch size and process setting in light-emitting diode (LED) coproduction processes

Ghosh, Vashkar; Paul, Anand; Yang, Zhechao; Zhu, Lingjiong - In: Production and operations management : the flagship … 33 (2024) 5, pp. 1099-1115

Persistent link: https://www.econbiz.de/10014576987

A Reduced-Form Model for Level-1 Limit Order Books

Yang, Tzu-Wei - 2015

One popular approach to model the limit order books dynamics of the best bid and ask at level-1 is to use the reduced-form diffusion approximations. It is well known that the biggest contributing factor to the price movement is the imbalance of the best bid and ask. We investigate the data of...

Persistent link: https://www.econbiz.de/10013016710