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~person:"Cui, Zhenyu"
~source:"econis"
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Option pricing theory
6
Optionspreistheorie
6
Markov chain
5
Markov-Kette
5
Continuous-time Markov chain
4
Stochastic process
4
Stochastischer Prozess
4
Option pricing
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American option pricing
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Cui, Zhenyu
Nuño, Galo
8
Chambers, Marcus J.
7
Fabbri, Giorgio
6
Posch, Olaf
6
Benndorf, Volker
5
Benth, Fred Espen
5
Nowman, Kalid Ben
5
Park, Joon Y.
5
Parra-Alvarez, Juan Carlos
5
Steg, Jan-Henrik
5
Boucekkine, Raouf
4
Cisternas, Gonzalo
4
Ebina, Takeshi
4
Federico, Salvatore
4
Fernández-Villaverde, Jesús
4
Gozzi, Fausto
4
Hurtado, Samuel
4
Martínez Martínez, Ismael
4
Miao, Jianjun
4
Thomas, Carlos
4
Thornton, Michael A.
4
Wälde, Klaus
4
Zhang, Yi
4
Bohren, J. Aislinn
3
Bonatti, Alessandro
3
Ferrari, Giorgio
3
Friedman, Daniel
3
Gough, O.
3
Klein, Nicolas Alexandre
3
Lu, Ye
3
Maggi, Bernardo
3
Matsushima, Noriaki
3
Normann, Hans-Theo
3
Oprea, Ryan
3
Riedel, Frank
3
Sorin, Sylvain
3
Steinrücke, Martin
3
Wang, Mu-Chun
3
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European journal of operational research : EJOR
2
Quantitative finance
2
Journal of economic dynamics & control
1
Mathematical methods of operations research : ZOR
1
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ECONIS (ZBW)
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1
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
Saved in:
2
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
3
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
4
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Saved in:
5
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
Saved in:
6
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
Cui, Zhenyu
;
Lee, Chihoon
;
Liu, Yanchu
- In:
European journal of operational research : EJOR
266
(
2018
)
3
,
pp. 1134-1139
Persistent link: https://www.econbiz.de/10011812242
Saved in:
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