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pro vyhledávání: '"Zhang, Gongqiu"'
Autor:
Liu, Yu, Zhang, Gongqiu
We tackle the problem of pricing Chinese convertible bonds(CCBs) using Monte Carlo simulation and dynamic programming. At each exercise time, we use the state variables of the underlying stock to regress the continuation value, and apply standard bac
Externí odkaz:
http://arxiv.org/abs/2409.06496
Autor:
Zhang, Gongqiu, Li, Lingfei
We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integrals of first passage probabilities. We combine efficient numerical quad
Externí odkaz:
http://arxiv.org/abs/2112.00439
Autor:
Zhang, Gongqiu, Li, Lingfei
We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensional Markov processes. We prove the convergence of the method under a g
Externí odkaz:
http://arxiv.org/abs/2107.06605
We develop a new simulation method for multidimensional diffusions with sticky boundaries. The challenge comes from simulating the sticky boundary behavior, for which standard methods like the Euler scheme fail. We approximate the sticky diffusion pr
Externí odkaz:
http://arxiv.org/abs/2107.04260
We propose a two-step framework for predicting the implied volatility surface over time without static arbitrage. In the first step, we select features to represent the surface and predict them over time. In the second step, we use the predicted feat
Externí odkaz:
http://arxiv.org/abs/2106.07177
Publikováno v:
Adv. Appl. Probab. 53 (2021) 335-369
We develop continuous time Markov chain (CTMC) approximation of one-dimensional diffusions with a lower sticky boundary. Approximate solutions to the action of the Feynman-Kac operator associated with a sticky diffusion and first passage probabilitie
Externí odkaz:
http://arxiv.org/abs/1910.14282
Autor:
Zhang, Gongqiu, Li, Lingfei
Publikováno v:
In Journal of Economic Dynamics and Control July 2023 152
Akademický článek
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Publikováno v:
Advances in Applied Probability, 2021 Jun 01. 53(2), 335-369.
Externí odkaz:
https://www.jstor.org/stable/48654481
Publikováno v:
In Energy Economics May 2022 109