Zhenyu Cui

Stevens Institute of Technology - School of Business

SCHOLARLY PAPERS

55

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CITATIONS
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4

Ideas:
“  I am currently working on financial systemic risk and insider trading.  ”

Scholarly Papers (55)

1.

Pricing Timer Options

Journal of Computational Finance, Vol. 15, No. 1, 2011
Number of pages: 37 Posted: 19 May 2010 Last Revised: 24 Jan 2012
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 1,188 (16,230)
Citation 2

Abstract:

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Stochastic volatility, Volatility derivative, timer option, quadratic variation, correlation, Heston model, Hull and White model.

2.

Nearly Exact Option Price Simulation Using Characteristic Functions

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 37 Posted: 23 Jul 2012
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 244 (122,378)

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Characteristic function, Monte Carlo, Option pricing, Parisian option, Heston model

3.

Non-Affine GARCH Option Pricing Models, Variance Dependent Kernels, and Diffusion Limits

Number of pages: 54 Posted: 19 Dec 2015 Last Revised: 12 Jun 2017
University of Calgary, Stevens Institute of Technology - School of Business and Universität Sankt Gallen
Downloads 243 (122,874)

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non-affine GARCH models, non-Gaussian innovations, exponential linear variance dependent pricing kernel, bivariate diffusion limit, option pricing

4.

Prices and Asymptotics for Discrete Variance Swaps

Applied Mathematical Finance, Forthcoming
Number of pages: 44 Posted: 23 Jul 2012 Last Revised: 19 Jun 2013
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 234 (127,637)
Citation 2

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Discrete variance swaps, Heston model, Hull-White model, Schoebel-Zhu model

5.

A Note on Exchange Options Under Stochastic Interest Rates

Number of pages: 7 Posted: 17 Jun 2010
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 210 (141,736)

Abstract:

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Exchange options, Stochastic interest rates

6.

Comment on 'Option Pricing Under the Merton Model of the Short Rate'

Number of pages: 5 Posted: 05 Mar 2010
Don McLeish and Zhenyu Cui
University of Waterloo and Stevens Institute of Technology - School of Business
Downloads 148 (193,291)

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Stochastic interest rates, change of numeraire, Merton short rate model

7.

Comment on 'The Large-Maturity Smile for the Heston Model'

Number of pages: 9 Posted: 21 Mar 2012
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 134 (209,357)

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Moment explosion, Heston model, Asymptotics for large maturity, Essential smoothness, Large deviations principle

8.

Systemic Risk and Optimal Fee Structure for Central Clearing Counterparty Under Partial Netting

Number of pages: 23 Posted: 28 Oct 2016 Last Revised: 18 Jan 2018
Zhenyu Cui, Qi Feng, Ruimeng Hu and Bin Zou
Stevens Institute of Technology - School of Business, University of Connecticut, University of California, Santa Barbara (UCSB) and University of Washington
Downloads 127 (218,354)

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Clearing Counterparty (CCP), Clearing Fee, Optimization, Shortfall, Systemic Risk

9.

Detecting Arbitrage in the Foreign Exchange Market

Stevens Institute of Technology School of Business Research Paper
Number of pages: 24 Posted: 05 May 2018
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, New Jersey Institute of Technology and University of Minnesota - Minneapolis
Downloads 122 (225,032)

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Foreign Exchange, Toxic Arbitrage, Triangular Arbitrage, Perron-Frobenius Theorem

10.

VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 02 Oct 2017 Last Revised: 21 Apr 2018
Zhe Zhao, Zhenyu Cui and Ionut Florescu
Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Stevens Institute of Technology
Downloads 107 (247,555)

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VIX derivatives, Hermite series, Stochastic volatility, Heston model, Mean-reverting CEV model

11.

Single-Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes

Number of pages: 20 Posted: 20 Jan 2016 Last Revised: 09 Oct 2017
Zhenyu Cui, Chihoon Lee and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 98 (262,818)

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Finance, Asian option, Markov process, Continuous-Time Markov Chain, Laplace transform

12.

Exact Optimal Pricing under the Multinomial Logit Choice Model with Network Effects

Stevens Institute of Technology School of Business Research Paper
Number of pages: 24 Posted: 27 Dec 2016
Zhenyu Cui and Lingjiong Zhu
Stevens Institute of Technology - School of Business and University of Minnesota - Minneapolis
Downloads 92 (273,748)

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Pricing, Choice Models, Multinomial Logit Choice, Network Effects, Revenue Management

13.

A Unified Valuation Framework for Variance Swaps under Non-Affine Stochastic Volatility Models

Number of pages: 38 Posted: 10 Jan 2017
Alex Badescu, Matthew Couch and Zhenyu Cui
University of Calgary, University of Calgary - Department of Mathematics and Statistics and Stevens Institute of Technology - School of Business
Downloads 90 (277,542)

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Variance Swaps, Non-Gaussian GARCH Models, Extended Girsanov Principle, Diffusion Limits, CBOE VIX

14.

An Exact and Explicit Implied Volatility Inversion Formula

Number of pages: 26 Posted: 14 Feb 2018
Yuxuan Xia and Zhenyu Cui
Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 89 (279,569)

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Implied volatility, Taylor Series, Arbitrary Greeks, Lagrange inversion theorem, Operator Calculus

15.

A Laplace Space Approach to American Options

Number of pages: 28 Posted: 30 Mar 2016
Jingtang Ma, Zhenyu Cui and Wenyuan Li
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Stevens Institute of Technology - School of Business and Southwestern University of Finance and Economics (SWUFE) - School of Economic Mathematics
Downloads 89 (279,569)

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American option pricing, Time-homogeneous diffusions, Jump diffusions, Laplace transform, Option bounds, Early exercise boundary

16.

A Note on the Wang Transform for Stochastic Volatility Pricing Models

Number of pages: 14 Posted: 18 Oct 2015 Last Revised: 29 Jul 2016
University of Calgary, Stevens Institute of Technology - School of Business and Universität Sankt Gallen
Downloads 85 (287,686)

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distortion function, stochastic discount factor, generalized local risk-neutral valuation relationship, GARCH models, weak convergence, stochastic volatility

17.

Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model

Number of pages: 36 Posted: 02 Nov 2016 Last Revised: 16 Nov 2016
Zhenyu Cui, Runhuan Feng and Anne MacKay
Stevens Institute of Technology - School of Business, University of Illinois at Urbana-Champaign and University of Quebec at Montreal (UQAM)
Downloads 80 (298,365)

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Variable Annuity, VIX Index, Dynamic Fee, Segregated Funds, Stochastic Volatility, Heston Model

18.

Impact of Flexible Periodic Premiums on Variable Annuity Guarantees

Number of pages: 35 Posted: 29 Feb 2016
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and Vrije Universiteit Brussel (VUB)
Downloads 77 (305,183)

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variable annuity, flexible premium, GMAB, GMDB, Asian options, conditioning

19.

Circular Arbitrage Detection Using Graphs

Stevens Institute of Technology School of Business Research Paper
Number of pages: 8 Posted: 07 Nov 2018
Zhenyu Cui and Stephen Michael Taylor
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 73 (314,737)

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Foreign Exchange, Arbitrage, Triangular Arbitrage, Max Plus Product

On the Martingale Property in Stochastic Volatility Models Based on Time-Homogeneous Diffusions

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 02 Oct 2013 Last Revised: 12 Jul 2014
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 68 (331,003)

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Martingale property, Local martingale, Stochastic volatility, Engelbert-Schmidt zero-one law

On the Martingale Property in Stochastic Volatility Models Based on Time‐Homogeneous Diffusions

Mathematical Finance, Vol. 27, Issue 1, pp. 194-223, 2017
Number of pages: 30 Posted: 15 Jan 2017
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
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Martingale property, local martingale, stochastic volatility, Engelbert Schmidt zero‐one law

21.

Failure and Rescue in Central Clearing Counterparty Design

Stevens Institute of Technology School of Business Research Paper
Number of pages: 29 Posted: 25 Jul 2017 Last Revised: 16 Oct 2017
Zhenyu Cui, Chihoon Lee, Yanchu Liu and Kai Wang
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Stevens Institute of Technology - School of Business
Downloads 65 (334,956)

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systemic risk, network model, central clearing counterparty, financial innovation

22.

Omega Diffusion Risk Model with Surplus-Dependent Tax and Capital Injections

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 27 Posted: 14 Mar 2016
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 57 (357,651)

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Time-homogeneous diffusion, Az'ema-Yor process; occupation time, risk model with tax, Omega risk model, reflected diffusion

23.

An Efficient and Stable Method for Short Maturity Asian Options

Number of pages: 21 Posted: 10 Dec 2017
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 55 (363,800)

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Arithmetic Asian option, Markov Chain, Stable Greeks, Volatility Regime

24.

Stochastic Areas of Diffusions and Applications in Risk Theory

Number of pages: 20 Posted: 02 Dec 2013
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 54 (366,964)

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Time-homogeneous diffusion, first passage time, occupation time, Azema-Yor stopping time, Omega risk model

25.

Density of Generalized Verhulst Process and Bessel Process with Constant Drift

Number of pages: 12 Posted: 08 Apr 2016
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 51 (376,343)

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Verhulst process, Exponential change of measure, geometric Brownian motion, Bessel process with constant drift

26.

Integral Representation of Vega for American Put Options

Number of pages: 10 Posted: 23 Aug 2016
Yanchu Liu, Zhenyu Cui and Ning Zhang
Lingnan (University) College, Sun Yat-sen University, Guangzhou, China., Stevens Institute of Technology - School of Business and Jiangxi University of Finance and Economics
Downloads 50 (379,598)

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American Put Options, Vega, Exercise Boundary, Integral Equation

27.

First Hitting Time of Integral Diffusions and Applications

Number of pages: 16 Posted: 27 Feb 2017
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 49 (382,812)

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First Hitting Time, Asian Options, Volatility Derivative, Stochastic Time Change, Laplace Transform

28.

Semi-Analytical Valuation for Discrete Barrier Options under Time-Dependent Lévy Processes

Number of pages: 51 Posted: 10 Jan 2017
University of South Australia - School of Commerce, University of Wollongong, University of Birmingham and Stevens Institute of Technology - School of Business
Downloads 44 (400,120)

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Discrete Barrier Options, Lévy Processes, Fourier-Cosine Series

29.

Omega Risk Model with Tax

Number of pages: 21 Posted: 31 Mar 2014
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 44 (400,120)

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Time-homogeneous diffusion, Azema-Yor process, occupation time, Laplace transform, risk model with tax, Omega risk model

30.

A General Valuation Framework for SABR and Stochastic Local Volatility Models

Number of pages: 44 Posted: 09 Mar 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 43 (403,752)

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SABR, stochastic local volatility, quadratic local volatility, continuous-time Markov Chains, exotic options, American options, Asian options, option pricing, CTMC, occupation time derivatives, barrier options

31.

Risk Measures for Variable Annuities: A Hermite Series Expansion Approach

Number of pages: 35 Posted: 05 Aug 2017
Zhenyu Cui, J.H. Kim, Guanghua Lian and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, University of California, Berkeley - Haas School of Business and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 41 (411,100)

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Variable Annuity, GMDB, GMMB, Risk Measures, Value-At-Risk, Conditional-Tail-Expectation

32.

Closed-Form Variance Swap Prices under General Affine GARCH Models and Their Continuous-Time Limits

Number of pages: 30 Posted: 08 Aug 2017
University of Calgary, Stevens Institute of Technology - School of Business and Universität Sankt Gallen
Downloads 40 (414,919)

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Variance Swaps, Realized Variance, Affine GARCH Models, Variance Dependent Pricing Kernels, Diffusion Limits

33.

Lower-Upper Bound Approach for Pricing American Strangles

Number of pages: 21 Posted: 02 Jun 2016
Jingtang Ma, Wenyuan Li and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Southwestern University of Finance and Economics (SWUFE) - School of Economic Mathematics and Stevens Institute of Technology - School of Business
Downloads 40 (414,919)

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Option pricing, American strangle, lower and upper bounds

34.

Comment on 'Modeling Non-Monotone Risk Aversion Using Sahara Utility Functions'

Journal of Economic Theory, Forthcoming
Number of pages: 3 Posted: 31 Mar 2014
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 32 (447,454)

Abstract:

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35.

Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing

Number of pages: 32 Posted: 28 Jan 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 26 (476,543)

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Markov Chain, Options Pricing, FFT

36.

Options Valuation and Calibration for Leveraged Exchange-Traded Funds with Heston-Nandi and Inverse Gaussian GARCH Models

Number of pages: 31 Posted: 02 Jan 2019
Hongkai Cao, Rupak Chatterjee and Zhenyu Cui
Stevens Institute of Technology - School of Business, Department of Physics and Stevens Institute of Technology - School of Business
Downloads 26 (476,543)

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GARCH Model, LETF Options, Heston Nandi, Inverse Gaussian, Calibration

37.

Shortfall Risk Through Fenchel Duality

Number of pages: 11 Posted: 04 Mar 2018
Zhenyu Cui and Jun Deng
Stevens Institute of Technology - School of Business and University of International Business and Economics (UIBE) - School of Banking and Finance
Downloads 25 (481,933)

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shortfall risk, Fenchel duality,enlargement of filtration, risk measure, hedging

38.

An Integral Representation for Elasticity and Sensitivity for Stochastic Volatility Models

Number of pages: 25 Posted: 12 Oct 2017
Zhenyu Cui, Duy Nguyen and Hyungbin Park
Stevens Institute of Technology - School of Business, Marist College - Department of Mathematics and Seoul National University
Downloads 25 (481,933)

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Sensitivity, elasticity, growth-rate risk, quantile, Greeks, exponential measure change, stochastic volatility models.

39.

Integral Representation of Probability Density of Stochastic Volatility Models and Timer Options

Number of pages: 25 Posted: 08 Dec 2017
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of California, Berkeley - Haas School of Business and Marist College - Department of Mathematics
Downloads 24 (487,398)

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stochastic volatility, exact probability density,implied volatility, timer option

40.

Equity-Linked Annuity Pricing with Cliquet-Style Guarantees in Regime-Switching and Stochastic Volatility Models with Jumps

Insurance: Mathematics and Economics, Vol. 74, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 36 Posted: 05 Jan 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 23 (492,812)

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Life insurance, equity-linked annuity, cliquet, gurantee, stochastic volatility, regime-switching, jump diffusion

41.

A Unified Approach to Bermudan and Barrier Options Under Stochastic Volatility Models with Jumps

Journal of Economic Dynamics and Control, Vol. 80, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 41 Posted: 05 Jan 2018
Justin Kirkby, Duy Nguyen and Zhenyu Cui
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and Stevens Institute of Technology - School of Business
Downloads 20 (509,657)

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American options, Barrier options, Stochastic volatility, Regime switching, Jump diffusion, Frame projection

42.

Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model

Number of pages: 20 Posted: 21 Dec 2016
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 20 (509,657)

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Time-homogeneous diffusion, generalized drawdown process,drawdown, Laplace transform, Doob-Meyer decomposition

43.

A New Proof of the Engelbert-Schmidt Zero-One Law for Time-Homogeneous Diffusions

Forthcoming, Statistics and Probability Letters
Number of pages: 10 Posted: 09 Dec 2013 Last Revised: 17 Mar 2014
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 20 (509,657)

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Engelbert-Schmidt zero-one law, diffusion, integral functional

44.

A General Framework for Time-Changed Markov Processes and Applications

Stevens Institute of Technology School of Business Research Paper
Number of pages: 34 Posted: 29 Aug 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 19 (515,412)

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Finance, Time Change, Markov Process, Option Pricing, Continuous-Time Markov Chains, Laplace Transform, Subordination, Variance Swaps, Bermudan Options

45.

A General Framework for Discretely Sampled Realized Variance Derivatives in Stochastic Volatility Models with Jumps

European Journal of Operational Research, 262(1), 2017, pg. 381-400, Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 05 Jan 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 19 (515,412)

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variance swap, volatility derivatives, regime-switching, jump diffusion, stochastic volatility, realized variance

46.

Pricing Continuously Monitored Barrier Options Under the Sabr Model: A Closed-Form Approximation

Number of pages: 26 Posted: 20 Dec 2017
Nian Yang, Yanchu Liu and Zhenyu Cui
Department of Finance and Insurance, Nanjing University, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Stevens Institute of Technology - School of Business
Downloads 18 (521,099)

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SABR model, continuously monitored barrier options, survival density, closed-form approximation, stochastic volatility

47.

Transform Analysis for Markov Processes and Applications: An Operator-based Approach

Number of pages: 27 Posted: 07 Mar 2019
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and University of Minnesota - Minneapolis
Downloads 17 (526,770)

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Transform analysis, Asset pricing, Occupation time, Markov Process, Finance

48.

Convergence Rate Analysis for the Continuous-Time Markov Chain Approximation of Occupation Time Derivatives and Asian Option Greeks

Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 09 Jan 2019 Last Revised: 08 May 2019
Jingtang Ma, Wensheng Yang and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, School of Economic Mathematics, SWUFE and Stevens Institute of Technology - School of Business
Downloads 17 (526,770)

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Continuous-Time Markov Chains, Error Analysis, Non-Uniform Grids, Convergence Rates, Path-Dependent Options, Greeks, Matrix-Analytic Method, Laplace Inversion

49.

On the Optimal Design of the Randomized Unbiased Monte Carlo Estimators

Number of pages: 26 Posted: 01 May 2019
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, University of Minnesota - Minneapolis and Stevens Institute of Technology - School of Business
Downloads 14 (543,959)

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simulation optimization, complexity, unbiased estimato, stochastic model applications

50.

Hybrid Laplace Transform and Finite Difference Methods for Pricing American Options under Complex Models

Computers & Mathematics with Applications, Volume 74, Issue 3, Pages 369-384, 1 August 2017
Number of pages: 23 Posted: 28 Sep 2017
Jingtang Ma, Zhiqiang Zhou and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Southwestern University of Finance and Economics (SWUFE) and Stevens Institute of Technology - School of Business
Downloads 13 (549,876)

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American Option Pricing, Finite Difference Methods, Laplace Transform Methods, Partial Differential Equations, Fractional Partial Differential Equations

51.

Nonparametric Density Estimation by B-spline Duality

Number of pages: 39 Posted: 08 Apr 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 12 (555,793)

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nonparametric density estimation, spline, empirical characteristic function, empirical density, fast Fourier transform, Levy processes, basis, PROJ, kernel density estimator

52.

Full-fledged SABR through Markov Chains

Number of pages: 13 Posted: 14 Mar 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 12 (555,793)

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SABR model, Markov chain, exotic options, calibration

53.

Optimal Unbiased Estimation for Expected Cumulative Cost

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 30 Apr 2018
Stevens Institute of Technology - School of Business, University of Maryland - College Park, Department of Industrial Engineering and Management, Peking University and University of Minnesota - Minneapolis
Downloads 12 (555,793)

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unbiased simulation, optimal control, cumulative cost, efficiency of estimator

54.

Pricing Discretely Monitored Barrier Options under Markov Processes using a Markov Chain Approximation

Number of pages: 44
Zhenyu Cui and Stephen Michael Taylor
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 3

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discrete barrier options, continuous-time Markov chains, integral equations,Z−transform, Markov process

55.

Convergence of the Discrete Variance Swap in Time-Homogeneous Diffusion Models

Quantitative Finance Letters, Forthcoming
Posted: 01 Oct 2013 Last Revised: 09 May 2014
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo

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Discrete variance swap, realized variance, quadratic variation, time-homogeneous diffusions