Wensheng Yang

School of Economic Mathematics, SWUFE

55 Guanghuacun St,

Chengdu, Sichuan 610074

China

SCHOLARLY PAPERS

2

DOWNLOADS

60

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

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 (508,065)
Citation 2

Abstract:

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

2.

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 (574,749)

Abstract:

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