Pingping Zeng

Hong Kong University of Science & Technology (HKUST) - Department of Mathematics

Rm. 3461, Lift 25-26

Clear Water Bay

Kowloon

Hong Kong

  • Hong Kong University of Science & Technology (HKUST) - Department of Mathematics

SCHOLARLY PAPERS

6

DOWNLOADS

627

SSRN CITATIONS

11

CROSSREF CITATIONS

2

Scholarly Papers (6)

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1.

Analytical Solvability and Exact Simulation of Stochastic Volatility Models with Jumps

Number of pages: 51 Posted: 16 Aug 2021 Last Revised: 13 Sep 2021
Pingping Zeng, Ziqing Xu, Pingping Jiang and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics, affiliation not provided to SSRN, Nankai University - School of Mathematical Sciences and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 142 (324,121)

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stochastic volatility models with Levy jumps; conditional characteristic function; Hilbert transform method; interpolation; enhanced Hilbert interpolation method; almost exact simulation; weighted variance swaps; variance options

2.

Closed-Form Partial Transform of Triple Joint Density for Pricing Exotic Options and Variance Derivatives Under the 3/2 Model

Number of pages: 35 Posted: 08 Apr 2014
Wendong Zheng and Pingping Zeng
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology (HKUST) - Department of Mathematics
Downloads 112 (387,070)
Citation 5

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3/2 model, triple joint transition density, variance derivatives, exotic options, discrete monitoring

3.

Pricing Bounds and Approximations for Discrete Arithmetic Asian Options under Time-Changed Lévy Processes

Number of pages: 31 Posted: 15 Jul 2014 Last Revised: 16 Oct 2015
Pingping Zeng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 100 (419,137)
Citation 3

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time-changed Lévy processes, arithmetic Asian options, conditioning variable approach, partially exact and bounded approximations

4.

Fast Hilbert Transform Algorithms for Pricing Discrete Timer Options Under Stochastic Volatility Models

Number of pages: 25 Posted: 14 Jul 2014 Last Revised: 27 Oct 2015
Pingping Zeng, Yue Kuen Kwok and Wendong Zheng
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics, Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology (HKUST) - Department of Mathematics
Downloads 100 (419,137)
Citation 2

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timer options, Hilbert transform, stochastic volatility models

5.

Pricing Barrier and Bermudan Style Options Under Time-Changed Levy Processes: Fast Hilbert Transform Approach

Number of pages: 37 Posted: 08 Jun 2013 Last Revised: 15 Jan 2014
Pingping Zeng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 98 (424,939)

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fast Hilbert transform, time-changed Levy processes, barrier options, dividendruin model, Bermudan options

6.

Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals

Number of pages: 38 Posted: 17 Aug 2016 Last Revised: 07 Aug 2017
Yao Tung Huang, Pingping Zeng and Yue Kuen Kwok
Hong Kong University of Science and Technology, Department of Mathematics, Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 75 (500,042)

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Variable Annuities, Lifelong Withdrawal Guarantees, Optimal Initiation, Bang-Bang Analysis, Fourier Transform Algorithm