Jingtang Ma

School of Economic Mathematics and Collaborative Innovation Center of Financial Security

55 Guanghuacun St,

Chengdu, Sichuan 610074

China

SCHOLARLY PAPERS

5

DOWNLOADS

233

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

A Laplace Space Approach to American Options

Number of pages: 28 Posted: 30 Mar 2016
Jingtang Ma, Zhenyu Cui and Wenyuan Li
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Stevens Institute of Technology - School of Business and Southwestern University of Finance and Economics (SWUFE) - School of Economic Mathematics
Downloads 98 (311,136)

Abstract:

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American option pricing, Time-homogeneous diffusions, Jump diffusions, Laplace transform, Option bounds, Early exercise boundary

2.

Lower-Upper Bound Approach for Pricing American Strangles

Number of pages: 21 Posted: 02 Jun 2016
Jingtang Ma, Wenyuan Li and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Southwestern University of Finance and Economics (SWUFE) - School of Economic Mathematics and Stevens Institute of Technology - School of Business
Downloads 46 (463,868)

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Option pricing, American strangle, lower and upper bounds

3.

Convergence Rate Analysis for the Continuous-Time Markov Chain Approximation of Occupation Time Derivatives and Asian Option Greeks

Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 09 Jan 2019 Last Revised: 08 May 2019
Jingtang Ma, Wensheng Yang and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, School of Economic Mathematics, SWUFE and Stevens Institute of Technology - School of Business
Downloads 36 (508,335)
Citation 2

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Continuous-Time Markov Chains, Error Analysis, Non-Uniform Grids, Convergence Rates, Path-Dependent Options, Greeks, Matrix-Analytic Method, Laplace Inversion

4.

Hybrid Laplace Transform and Finite Difference Methods for Pricing American Options under Complex Models

Computers & Mathematics with Applications, Volume 74, Issue 3, Pages 369-384, 1 August 2017
Number of pages: 23 Posted: 28 Sep 2017
Jingtang Ma, Zhiqiang Zhou and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Southwestern University of Finance and Economics (SWUFE) and Stevens Institute of Technology - School of Business
Downloads 29 (544,614)

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American Option Pricing, Finite Difference Methods, Laplace Transform Methods, Partial Differential Equations, Fractional Partial Differential Equations

5.

Convergence Analysis for Continuous-Time Markov Chain Approximation of Stochastic Local Volatility Models: Option Pricing and Greeks

Number of pages: 20 Posted: 04 Dec 2020
Jingtang Ma, Wensheng Yang and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, School of Economic Mathematics, SWUFE and Stevens Institute of Technology - School of Business
Downloads 24 (575,031)

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Continuous-time Markov chains, stochastic local volatility models, option pric-ing, Greeks, convergence rates