Chenru Liu

Peking University - HSBC Business School

Peking University - HSBC Business School

No. 38 Xueyuan Road

Haidian District

Beijing, Beijing 100871

China

Stanford University, School of Engineering, Management Science & Engineering, Students

473 Via Ortega

Stanford, CA 94305-9025

United States

SCHOLARLY PAPERS

2

DOWNLOADS

190

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Hyperbolic Normal Stochastic Volatility Model

Journal of Futures Markets, 39(2):186-204, 2019
Number of pages: 26 Posted: 23 Jan 2018 Last Revised: 25 Jun 2019
Jaehyuk Choi, Chenru Liu and Byoung Ki Seo
Peking University - HSBC School of Business, Peking University - HSBC Business School and Ulsan National Institute of Science and Technology
Downloads 117 (292,547)
Citation 4

Abstract:

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Stochastic Volatility, SABR Model, Bougerol's Identity, Johnson's SU Distribution

2.

Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options

Number of pages: 31 Posted: 28 Oct 2018 Last Revised: 10 Sep 2020
Jeechul Woo, Chenru Liu and Jaehyuk Choi
University of Illinois Urbana-Champaign, Peking University - HSBC Business School and Peking University - HSBC School of Business
Downloads 73 (394,084)
Citation 1

Abstract:

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American option, Least square Monte Carlo, Longstaff-Schwartz algorithm, Look-ahead bias, Leave-one-out-cross-validation