Pricing American drawdown options under Markov models
Zhang, Xiang, Li, Lingfei, Zhang, Gongqiu
Published in European journal of operational research (16.09.2021)
Published in European journal of operational research (16.09.2021)
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Journal Article
A Fourier Transform Method for Solving Backward Stochastic Differential Equations
Ge, Yingming, Li, Lingfei, Zhang, Gongqiu
Published in Methodology and computing in applied probability (01.03.2022)
Published in Methodology and computing in applied probability (01.03.2022)
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Journal Article
Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
Meier, Christian, Li, Lingfei, Zhang, Gongqiu
Published in European journal of operational research (16.03.2023)
Published in European journal of operational research (16.03.2023)
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Journal Article
Markov chain approximation of one-dimensional sticky diffusions
Meier, Christian, Li, Lingfei, Zhang, Gongqiu
Published in Advances in applied probability (01.06.2021)
Published in Advances in applied probability (01.06.2021)
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Journal Article
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
Chen, Jie, Fan, Liaoyuan, Li, Lingfei, Zhang, Gongqiu
Published in Review of derivatives research (01.07.2022)
Published in Review of derivatives research (01.07.2022)
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Journal Article
Pure jump models for pricing and hedging VIX derivatives
Li, Jing, Li, Lingfei, Zhang, Gongqiu
Published in Journal of economic dynamics & control (01.01.2017)
Published in Journal of economic dynamics & control (01.01.2017)
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Journal Article