Error analysis of finite difference and Markov chain approximations for option pricing von Li, Lingfei, Zhang, Gongqiu

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Pricing American drawdown options under Markov models von Zhang, Xiang, Li, Lingfei, Zhang, Gongqiu

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The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market von Zhang, Xinxin, Bouri, Elie, Xu, Yahua, Zhang, Gongqiu

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A Fourier Transform Method for Solving Backward Stochastic Differential Equations von Ge, Yingming, Li, Lingfei, Zhang, Gongqiu

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Option Pricing in Some Non-Lévy Jump Models von Li, Lingfei, Zhang, Gongqiu

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Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior von Zhang, Gongqiu, Li, Lingfei

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A general method for analysis and valuation of drawdown risk von Zhang, Gongqiu, Li, Lingfei

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A general approach for Parisian stopping times under Markov processes von Zhang, Gongqiu, Li, Lingfei

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A general approach for lookback option pricing under Markov models von Zhang, Gongqiu, Li, Lingfei

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Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation von Meier, Christian, Li, Lingfei, Zhang, Gongqiu

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Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients von Zhang, Gongqiu, Li, Lingfei

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Speed and duration of drawdown under general Markov models von Li, Lingfei, Zeng, Pingping, Zhang, Gongqiu

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A two-step framework for arbitrage-free prediction of the implied volatility surface von Zhang, Wenyong, Li, Lingfei, Zhang, Gongqiu

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Pricing and hedging autocallable products by Markov chain approximation von Cui, Yeda, Li, Lingfei, Zhang, Gongqiu

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Markov chain approximation of one-dimensional sticky diffusions von Meier, Christian, Li, Lingfei, Zhang, Gongqiu

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Pricing and hedging autocallable products by Markov chain approximation: Pricing and hedging autocallable products von Cui, Yeda, Li, Lingfei, Zhang, Gongqiu

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Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps von Zhang, Weinan, Zeng, Pingping, Zhang, Gongqiu, Kwok, Yue Kuen

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An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance von Li, Lingfei, Qu, Xianjun, Zhang, Gongqiu

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A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation von Chen, Jie, Fan, Liaoyuan, Li, Lingfei, Zhang, Gongqiu

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Pure jump models for pricing and hedging VIX derivatives von Li, Jing, Li, Lingfei, Zhang, Gongqiu

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