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~person:"Cui, Zhenyu"
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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
3
Option trading
3
Optionsgeschäft
3
Continuous-time Markov chains
2
Finance
2
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Volatilität
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American option pricing
1
American options
1
Asian option
1
Bermudan options
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1
Convergence rates
1
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Early exercise premium
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Local time
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Non-uniform grids
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Optimal stopping
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Path-dependent options
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Private Altersvorsorge
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6
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Cui, Zhenyu
Benth, Fred Espen
5
Nowman, Kalid Ben
5
Park, Joon Y.
4
Zhang, Yi
4
Benndorf, Volker
3
Chambers, Marcus J.
3
Friedman, Daniel
3
Gough, O.
3
Maggi, Bernardo
3
Martínez Martínez, Ismael
3
Miao, Jianjun
3
Oprea, Ryan
3
Steinrücke, Martin
3
Yu, Jun
3
Özyurt, Selçuk
3
Albrecht, Wolfgang
2
Bernard, Benjamin
2
Bimpikis, Kostas
2
Bonatti, Alessandro
2
Chaudhry, M. L.
2
Cisternas, Gonzalo
2
Dokučaev, Nikolaj G.
2
Elliott, Robert J.
2
Fabbri, Giorgio
2
Fabra, Natalia
2
Federici, Daniela
2
Ferrari, Giorgio
2
Frei, Christoph
2
Gandolfo, Giancarlo
2
Gapeev, Pavel V.
2
García, Alfredo
2
Garivaltis, Alex
2
Ghosh, Souvik
2
Gough, Orla
2
Guo, Xianping
2
Guo, Xin
2
Herzberg, Frederik
2
Huang, Zhiping
2
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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)
6
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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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