Honglei Zhao

Hanlon Financial Systems Lab

Lab Assistant

Hoboken, NJ 07030

United States

Stevens Institute of Technology

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

2

DOWNLOADS

35

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Pricing Bermudan Variance Swaptions Using Multinomial Trees

The Journal of Derivatives Spring 2019, 26 (3) 22-34
Number of pages: 20 Posted: 15 Jun 2018 Last Revised: 11 Apr 2019
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 35 (444,806)

Abstract:

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variance swaption, stochastic volatility, multinomial tree

2.

Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees

Journal of Derivatives, Vol. 25, No. 2, 2017, Stevens Institute of Technology School of Business Research Paper, https://doi.org/10.3905/jod.2017.25.2.007
Posted: 20 May 2019
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 0 (669,702)

Abstract:

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variance swap, gamma swap, corridor swap, realized variance, stochastic volatility models, tree approximations