Gongqiu Zhang

Economics and Management School, Wuhan University

Assistant Professor

Luojiashan

Wuhan

Wuhan, Hubei NA

China

SCHOLARLY PAPERS

4

DOWNLOADS

600

SSRN CITATIONS
Rank 25,646

SSRN RANKINGS

Top 25,646

in Total Papers Citations

17

CROSSREF CITATIONS

17

Scholarly Papers (4)

1.

Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior

Number of pages: 38 Posted: 26 Jul 2017
Lingfei Li and Gongqiu Zhang
The Chinese University of Hong Kong and Economics and Management School, Wuhan University
Downloads 331 (103,226)
Citation 11

Abstract:

Loading...

Diffusions, Jumps, Markov Chain, Non-Uniform Grids, Convergence Rate, Smooth Convergence, Extrapolation, Spectral Representation, Non-Smooth Payoffs

2.

Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing

Forthcoming in Mathematical Finance
Number of pages: 39 Posted: 11 Aug 2016 Last Revised: 16 Jun 2017
Lingfei Li and Gongqiu Zhang
The Chinese University of Hong Kong and Economics and Management School, Wuhan University
Downloads 116 (269,262)
Citation 5

Abstract:

Loading...

diffusions, subordination, Markov chain approximation, finite difference, spectral representation, convergence rate, European and barrier options, non-smooth payoffs, smoothing techniques

3.

An Efficient Algorithm Based on Eigenfunction Expansions for Some Optimal Timing Problems in Finance

Number of pages: 36 Posted: 14 May 2015
Lingfei Li, Xianjun Qu and Gongqiu Zhang
The Chinese University of Hong Kong, Hantak Investment Co. and Economics and Management School, Wuhan University
Downloads 83 (335,559)
Citation 4

Abstract:

Loading...

optimal switching and optimal multiple stopping, diffusions and subordinate diffusions, eigenfunction expansions, interest-rate chooser flexible caps/floors, commodity swing options, real options.

4.

Option Pricing in Some Non-Levy Jump Models

SIAM Journal on Scientific Computing, Forthcoming
Number of pages: 31 Posted: 15 Jul 2016
Lingfei Li and Gongqiu Zhang
The Chinese University of Hong Kong and Economics and Management School, Wuhan University
Downloads 70 (369,785)
Citation 2

Abstract:

Loading...

jump processes, option pricing, time change, finite difference, matrix eigendecomposition