Yanchu Liu

Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.

Associate Professor of Finance

Haizhu District,

Guangzhou, China.

Guangzhou, Guangdong 510275

China

SCHOLARLY PAPERS

12

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Top 42,168

in Total Papers Downloads

1,025

SSRN CITATIONS

7

CROSSREF CITATIONS

1

Scholarly Papers (12)

1.

Textual Sentiment, Option Characteristics, and Stock Return Predictability

IRTG 1792 Discussion Paper 2018-023
Number of pages: 54 Posted: 30 Jul 2018
Humboldt University of Berlin, University of St. Gallen - School of Economics and Political Science, Humboldt University of Berlin - Institute for Statistics and Econometrics and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 268 (116,291)

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investor disagreement; option markets; overnight information; stock return predictability; textual sentiment; topic model; trading-time information

2.

American Option Sensitivities Estimation via a Generalized IPA Approach

Number of pages: 40 Posted: 04 May 2011 Last Revised: 09 Jul 2019
Nan Chen and Yanchu Liu
The Chinese University of Hong Kong (CUHK) and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 163 (186,199)
Citation 1

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American option, price sensitivities, Monte Carlo simulation, stochastic optimization, perturbation analysis

3.

Approximate Arbitrage-Free Option Pricing Under the SABR Model

Journal of Economic Dynamics and Control, Vol. 83, 2017
Number of pages: 22 Posted: 20 Oct 2016 Last Revised: 13 Sep 2017
Nian Yang, Nan Chen, Yanchu Liu and Xiangwei Wan
Department of Finance and Insurance, Nanjing University, The Chinese University of Hong Kong (CUHK), Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 155 (194,414)

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SABR model; Approximate solution; Arbitrage-free option pricing; Perturbation method

4.

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 (267,315)
Citation 6

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

5.

Robust Upper Bounds for American Put Options

Number of pages: 19 Posted: 16 Aug 2016 Last Revised: 03 Sep 2017
Ye Du, Shan Xue and Yanchu Liu
Southwestern University of Finance and Economics (SWUFE) - School of Finance, Southwest University of Finance and Economics and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 79 (314,129)

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Robust upper bounds; American option pricing; Regret minimization; Gradient strategies

6.

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 69 (339,159)

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

7.

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 (383,454)

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American Put Options, Vega, Exercise Boundary, Integral Equation

8.

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 (422,025)

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

9.

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 29 (482,564)
Citation 2

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

10.

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 (482,564)

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

11.

Information Relaxation and The Duality-Based Dynamic Programming (DDP)

Number of pages: 67 Posted: 10 Jul 2019
Nan Chen, Xiang Ma and Yanchu Liu
The Chinese University of Hong Kong (CUHK), The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 26 (498,610)

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stochastic dynamic programming; information relaxation; Monte Carlo method; optimal execution; inventory management

12.

Dynamic Risk-Sharing Game and Reinsurance Contract Design

Insurance: Mathematics and Economics, Vol. 86, 2019
Number of pages: 38 Posted: 31 May 2019
Chen Shumin, Yanchu Liu and Chengguo Weng
School of Mathematics and Computational Science, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and University of Waterloo
Downloads 8 (608,292)

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