Zhenyu Cui

Stevens Institute of Technology - School of Business

SCHOLARLY PAPERS

57

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51

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82

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

Scholarly Papers (57)

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 1,213 (16,799)
Citation 1

Abstract:

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

2.

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 248 (127,323)
Citation 5

Abstract:

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

3.

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 245 (128,883)

Abstract:

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

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 238 (132,703)
Citation 5

Abstract:

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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 211 (149,688)
Citation 1

Abstract:

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Exchange options, Stochastic interest rates

6.

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 173 (178,704)
Citation 1

Abstract:

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

7.

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 149 (202,809)

Abstract:

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

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 Connecticut - Department of Mathematics
Downloads 139 (214,665)
Citation 2

Abstract:

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

9.

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 135 (219,760)

Abstract:

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

10.

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 121 (238,906)

Abstract:

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Foreign Exchange, Arbitrage, Triangular Arbitrage, Max Plus Product

11.

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 116 (246,571)
Citation 1

Abstract:

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

12.

Semi-explicit Optimal Pricing for Consumer Choice Models with Network Effects

Stevens Institute of Technology School of Business Research Paper
Number of pages: 25 Posted: 27 Dec 2016 Last Revised: 30 Oct 2019
Zhenyu Cui and Lingjiong Zhu
Stevens Institute of Technology - School of Business and University of Minnesota - Minneapolis
Downloads 102 (269,802)

Abstract:

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

13.

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 102 (269,802)
Citation 6

Abstract:

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

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 98 (277,133)
Citation 1

Abstract:

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

15.

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 96 (280,967)
Citation 1

Abstract:

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

16.

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 94 (284,754)

Abstract:

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

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 89 (294,746)
Citation 3

Abstract:

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

18.

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 89 (294,746)

Abstract:

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

19.

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 80 (314,678)
Citation 1

Abstract:

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

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 74 (332,782)

Abstract:

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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
Downloads 0
Citation 1
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Abstract:

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Martingale property, local martingale, stochastic volatility, Engelbert Schmidt zero‐one law

21.

Variance Risk Premium and Return Predictability: Evidence from the Chinese SSE 50 ETF Options

Stevens Institute of Technology School of Business Research Paper
Number of pages: 23 Posted: 26 Jul 2019 Last Revised: 09 Dec 2019
Zhenyu Cui, Zhiyong Li, Ying Wu and Mei Yu
Stevens Institute of Technology - School of Business, University of International Business and Economics (UIBE), Stevens Institute of Technology - School of Business and University of International Business and Economics (UIBE)
Downloads 73 (331,741)

Abstract:

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Emerging market, Variance risk premium, Downside variance risk premium, Upside variance risk premium, Delta hedging

22.

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 70 (339,612)

Abstract:

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

23.

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 66 (350,378)
Citation 5

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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

24.

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 59 (370,922)
Citation 2

Abstract:

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

25.

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 58 (374,009)

Abstract:

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Markov Chain, Options Pricing, FFT

26.

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 58 (374,009)

Abstract:

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

27.

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 56 (380,451)
Citation 1

Abstract:

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

28.

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 54 (386,948)

Abstract:

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American Put Options, Vega, Exercise Boundary, Integral Equation

29.

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 53 (390,146)

Abstract:

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

30.

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 51 (396,904)
Citation 3

Abstract:

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

31.

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 48 (407,216)
Citation 2

Abstract:

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Discrete Barrier Options, Lévy Processes, Fourier-Cosine Series

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 46 (414,473)
Citation 2

Abstract:

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

33.

Omega Risk Model with Tax

Number of pages: 21 Posted: 31 Mar 2014
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 45 (418,204)

Abstract:

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

34.

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 43 (425,814)

Abstract:

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

35.

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 42 (429,641)

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Option pricing, American strangle, lower and upper bounds

36.

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 35 (458,778)

Abstract:

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37.

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

Stevens Institute of Technology School of Business Research Paper
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 33 (467,682)
Citation 2

Abstract:

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

38.

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 31 (477,148)

Abstract:

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

39.

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 31 (477,148)
Citation 3

Abstract:

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

40.

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 29 (487,059)

Abstract:

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

41.

On the Optimal Design of the Randomized Unbiased Monte Carlo Estimators

Stevens Institute of Technology School of Business Research Paper
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 28 (492,287)

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simulation optimization, complexity, unbiased estimato, stochastic model applications

42.

Nonparametric Density Estimation by B-spline Duality

Stevens Institute of Technology School of Business Research Paper
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 28 (492,287)

Abstract:

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

43.

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 27 (497,572)
Citation 5

Abstract:

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

44.

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 27 (497,572)

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

45.

A Markov Chain Approximation Scheme for Option Pricing Under Skew Diffusions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 31 Posted: 25 Jun 2019
Kailin Ding, Zhenyu Cui and Yongjin Wang
Nankai University - School of Mathematical Sciences, Stevens Institute of Technology - School of Business and Nankai University - Business School
Downloads 26 (503,158)
Citation 1

Abstract:

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Skew diffusion, local time, continuous-time Markov chain, option pricing, target zone,psychological barriers

46.

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 25 (508,690)
Citation 2

Abstract:

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

47.

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 (508,690)

Abstract:

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

48.

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 24 (514,446)
Citation 1

Abstract:

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

49.

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 24 (514,446)
Citation 3

Abstract:

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

50.

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 (514,446)
Citation 2

Abstract:

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

51.

Pricing Discretely Monitored Barrier Options Under Markov Processes Using a Markov Chain Approximation

Stevens Institute of Technology School of Business Research Paper
Number of pages: 44 Posted: 29 May 2019
Zhenyu Cui and Stephen Michael Taylor
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 23 (520,230)
Citation 2

Abstract:

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Discrete Barrier Options, Continuous-Time Markov Chains, Integral Equations, Z−Transform, Markov Process

52.

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 23 (520,230)
Citation 1

Abstract:

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

53.

Full-fledged SABR through Markov Chains

Stevens Institute of Technology School of Business Research Paper
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 22 (526,193)
Citation 1

Abstract:

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SABR model, Markov chain, exotic options, calibration

54.

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 20 (538,062)

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

55.

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 (538,062)

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

56.

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 18 (550,330)
Citation 1

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

57.

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