Wuhan, Hubei NA
Economics and Management School, Wuhan University
in Total Papers Citations
Diffusions, Jumps, Markov Chain, Non-Uniform Grids, Convergence Rate, Smooth Convergence, Extrapolation, Spectral Representation, Non-Smooth Payoffs
diffusions, subordination, Markov chain approximation, finite difference, spectral representation, convergence rate, European and barrier options, non-smooth payoffs, smoothing techniques
optimal switching and optimal multiple stopping, diffusions and subordinate diffusions, eigenfunction expansions, interest-rate chooser flexible caps/floors, commodity swing options, real options.
jump processes, option pricing, time change, finite difference, matrix eigendecomposition
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