Xiong Lin

University of Illinois at Urbana-Champaign, Department of Mathematics

104 S. Mathews Avenue

Urbana, IL 61801

United States

SCHOLARLY PAPERS

3

DOWNLOADS

1,407

SSRN CITATIONS
Rank 31,899

SSRN RANKINGS

Top 31,899

in Total Papers Citations

11

CROSSREF CITATIONS

24

Scholarly Papers (3)

1.

Simulating Levy Processes from Their Characteristic Functions and Financial Applications

ACM Transactions on Modeling and Computer Simulation, Forthcoming
Number of pages: 33 Posted: 11 Jan 2012
Zisheng Chen, Liming Feng and Xiong Lin
Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and University of Illinois at Urbana-Champaign, Department of Mathematics
Downloads 665 (75,877)
Citation 5

Abstract:

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levy process, randomized quasi-Monte Carlo method, inverse transform method, Hilbert transform, analytic characteristic function, discrete Asian option, control variates

2.

Inverting Analytic Characteristic Functions and Financial Applications

SIAM Journal on Financial Mathematics, 2013, 4(1), 372-398
Number of pages: 28 Posted: 06 Jun 2013
Liming Feng and Xiong Lin
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and University of Illinois at Urbana-Champaign, Department of Mathematics
Downloads 440 (126,055)
Citation 1

Abstract:

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sinc expansion, Fourier transform, Hilbert transform, trapezoidal rule, characteristic function, option pricing, extreme strike

3.

Pricing Bermudan Options in Lévy Process Models

SIAM Journal on Financial Mathematics, 4(1), pp. 474-493, 2013
Number of pages: 20 Posted: 06 Aug 2013
Liming Feng and Xiong Lin
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and University of Illinois at Urbana-Champaign, Department of Mathematics
Downloads 302 (190,960)
Citation 2

Abstract:

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Lévy process, Bermudan option, early exercise boundary, optimal stopping, Fourier transform, Hilbert transform, sinc methods, fast Fourier transform, analytic characteristic function