Yue Kuen Kwok

Hong Kong University of Science & Technology - Department of Mathematics

Clearwater Bay

Kowloon, 999999

Hong Kong

SCHOLARLY PAPERS

56

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CROSSREF CITATIONS

108

Scholarly Papers (56)

1.

Target Redemption Note

Number of pages: 15 Posted: 28 Feb 2006
Yue Kuen Kwok and Chi Chiu Chu
Hong Kong University of Science & Technology - Department of Mathematics and University of Toronto
Downloads 911 (26,208)

Abstract:

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target redemption note, finite volume algorithm

Guaranteed Minimum Withdrawal Benefit in Variable Annuities

Number of pages: 17 Posted: 22 Feb 2007
Min Dai, Yue Kuen Kwok and Jianping Zong
National University of Singapore (NUS) - Department of Mathematics, Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 748 (33,975)
Citation 3

Abstract:

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guaranteed minimum withdrawal benefit, variable annuities, singular stochastic control model

3.

Efficient Options Pricing Using the Fast Fourier Transform

Number of pages: 24 Posted: 11 Jan 2010
Kwai Sun Leung, Hoi Ying Wong and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST), The Chinese University of Hong Kong (CUHK) - Department of Statistics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 708 (37,119)
Citation 1

Abstract:

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option pricing, Fast Fourier transform, Levy processes, numerical algorithms

4.

Credit Default Swap Valuation with Counterparty Risk

Kyoto Economics Journal, Forthcoming
Number of pages: 27 Posted: 09 May 2005
Yue Kuen Kwok and Seng Yuen Leung
Hong Kong University of Science & Technology - Department of Mathematics and Independent
Downloads 622 (44,266)

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counterparty risk, contagious default, intensity model, credit default swap

5.

Optimal Arbitrage Strategies on Stock Index Futures Under Position Limits

Number of pages: 15 Posted: 08 Feb 2010 Last Revised: 07 May 2010
Min Dai, Yifei Zhong and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics, University of Oxford - Mathematical Institute and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 519 (55,820)
Citation 5

Abstract:

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index arbitrage, optimal stopping, transaction costs, position limits

6.

Convexity Meets Replication: Hedging of Swap Derivatives and Annuity Options

Number of pages: 17 Posted: 18 Jun 2009 Last Revised: 07 May 2010
Wendong Zheng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 513 (56,637)

Abstract:

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Convexity adjustment, static replication, constant maturity

7.

American Options with Lookback Payoff

Number of pages: 22 Posted: 09 Aug 2004
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 410 (74,550)
Citation 2

Abstract:

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Lookback options, American feature, free boundary value problems

8.

Lattice Tree Methods for Strongly Path Dependent Options

Number of pages: 15 Posted: 21 Jun 2009
Yue Kuen Kwok
Hong Kong University of Science & Technology - Department of Mathematics
Downloads 349 (89,762)
Citation 1

Abstract:

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forward shooting grid method, path dependent options, reset feature

9.

Optimal Execution Strategy of Liquidation

Number of pages: 10 Posted: 09 May 2005
Yue Kuen Kwok and Ka Wo Lau
Hong Kong University of Science & Technology - Department of Mathematics and Citigroup, Inc. - Hong Kong
Downloads 342 (91,834)

Abstract:

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liquidity risk, optimal strategy

10.

Real Options in Strategic Investment Games between Two Asymmetric Firms

Number of pages: 33 Posted: 28 Feb 2006
Jean Kong and Yue Kuen Kwok
Hong Kong University of Science & Technology and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 246 (130,719)
Citation 2

Abstract:

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Real options, strategic investment games, pre-emption

11.

Optimal Policies of Call with Notice Period Requirement for Callable American Warrants and Convertible Bonds

Number of pages: 44 Posted: 02 Aug 2004
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 233 (137,869)
Citation 6

Abstract:

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American warrant, convertible bond, notice period requirement, callable feature

12.

Valuation of Guaranteed Annuity Options in Affine Term Structure Models

Number of pages: 26 Posted: 07 Jan 2005
Yue Kuen Kwok and Chi Chiu Chu
Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology (HKUST) - Department of Mathematics
Downloads 202 (157,927)

Abstract:

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guaranteed annuity options, affine term structure models

13.

Pricing Guaranteed Minimum Withdrawal Benefits under Stochastic Interest Rates

Number of pages: 26 Posted: 14 Jul 2009
Jingjiang Peng, Kwai Sun Leung and Yue Kuen Kwok
affiliation not provided to SSRN, Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 191 (166,275)
Citation 2

Abstract:

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14.

Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model With Stochastic Intensity

Number of pages: 17 Posted: 14 Jul 2009
Kwai Sun Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 189 (167,906)

Abstract:

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credit default swaps, counterparty risk, Markov chain model

15.

Optimal Multiple Stopping Models of Reload Options and Shout Options

Number of pages: 22 Posted: 09 May 2005 Last Revised: 12 Dec 2013
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 168 (186,343)

Abstract:

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employee stock options, reload feature, shout call, multiple optimal stopping, lookback options

16.

Employee Stock Option Valuation with Repricing Features

Number of pages: 23 Posted: 21 Feb 2007
Kwai Sun Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 167 (187,272)

Abstract:

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employee stock options, repricing feature, Brownian functionals

Closed Form Pricing Formulas for Discretely Sampled Generalized Variance Swaps

Number of pages: 32 Posted: 13 Feb 2011 Last Revised: 30 Apr 2012
Wendong Zheng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 161 (194,538)

Abstract:

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Exotic Variance Swaps, Stochastic Volatility Models, Fourier Transform, Discrete Sampling

Closed Form Pricing Formulas for Discretely Sampled Generalized Variance Swaps

Mathematical Finance, Vol. 24, Issue 4, pp. 855-881, 2014
Number of pages: 27 Posted: 24 Sep 2014
Wendong Zheng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 0
Citation 5
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generalized variance swaps, stochastic volatility models, Fourier transform, discrete sampling

18.

Valuation of Employee Reload Options in Utility Maximization Framework

Number of pages: 19 Posted: 15 Sep 2004
Yue Kuen Kwok and Ka Wo Lau
Hong Kong University of Science & Technology - Department of Mathematics and Citigroup, Inc. - Hong Kong
Downloads 161 (193,222)
Citation 1

Abstract:

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employee stock options, utility maximization, reload provision, compensation incentives, dead weight loss

19.

Distribution of Occupation Times for Cev Diffusions and Pricing of Alpha-Quantile Options

Number of pages: 18 Posted: 03 Jan 2005
Yue Kuen Kwok and Kwai Sun Leung
Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology (HKUST)
Downloads 155 (199,618)
Citation 2

Abstract:

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occupation times, CEV process, alpha-quantile options, fixed-floating symmetry

20.

Characterization of Optimal Stopping Regions of American Path Dependent Options

Number of pages: 33 Posted: 03 Jan 2005
Yue Kuen Kwok and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 155 (199,618)
Citation 2

Abstract:

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American options, optimal stopping, Asian feature, lookback feature, monotone properties

21.

Regression-Based Monte Carlo Methods for Stochastic Control Models: Variable Annuities with Lifelong Guarantees

Number of pages: 43 Posted: 26 Jul 2014 Last Revised: 02 Feb 2016
Yao Tung Huang and Yue Kuen Kwok
Hong Kong University of Science and Technology, Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 145 (211,023)
Citation 4

Abstract:

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variable annuities, lifelong withdrawal guarantees, stochastic control models, Monte Carlo simulation, regression-based algorithms, stochastic volatility

22.

Valuing Employee Reload Options Under Time Vesting Requirement

Number of pages: 21 Posted: 15 Sep 2004
Yue Kuen Kwok and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 142 (214,522)
Citation 1

Abstract:

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employee reload option, time vesting requirement, numerical algorithm

23.

Options with Combined Reset Rights on Strike and Maturity

Number of pages: 25 Posted: 02 Aug 2004
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 141 (215,746)
Citation 2

Abstract:

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Option pricing, strike reset, maturity reset, optimal stopping

24.

Intensity-Based Framework and Penalty Formulation of Optimal Stopping Problems

Number of pages: 28 Posted: 28 Feb 2006
Yue Kuen Kwok, Min Dai and Hong You
Hong Kong University of Science & Technology - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics and National University of Singapore (NUS)
Downloads 119 (245,914)
Citation 2

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linear complementarity formulation, mortgage prepayment, optimal stopping

25.

Enhanced Equity-Credit Modeling for Contingent Convertibles

Number of pages: 33 Posted: 25 Sep 2015 Last Revised: 03 Feb 2016
Tsz-Kin Chung and Yue Kuen Kwok
IHS Markit and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 109 (261,724)
Citation 2

Abstract:

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Contingent convertibles, equity-credit modeling, Fortet algorithms

26.

Pricing Participating Policies with Rate Guarantees and Bonuses

Number of pages: 18 Posted: 03 Jan 2005
Yue Kuen Kwok and Chi Chiu Chu
Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology (HKUST) - Department of Mathematics
Downloads 99 (279,809)

Abstract:

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Participating policies, bonus distribution, contingent claims valuation, perturbation techniques

27.

Knock-In American Options

Journal of Futures Markets, Vol. 24, No. 2, pp. 179-192, 2004
Number of pages: 12 Posted: 12 Jan 2010 Last Revised: 25 Jun 2013
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 89 (299,450)
Citation 1

Abstract:

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Barrier options, American options, knock in, analytic solutions

28.

Finite Time Dividend-Ruin Models

Number of pages: 25 Posted: 22 Feb 2007
Yue Kuen Kwok, Kwai Sun Leung and Seng Yuen Leung
Hong Kong University of Science & Technology - Department of Mathematics, Hong Kong University of Science & Technology (HKUST) and Independent
Downloads 89 (299,450)

Abstract:

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dividend-ruin model, dividend payouts, reflecting and absorbing barriers

29.

Fourier Transform Algorithms for Pricing and Hedging Discretely Sampled Exotic Variance Products and Volatility Derivatives under Additive Processes

Number of pages: 30 Posted: 01 Jan 2013
Wendong Zheng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 78 (324,319)
Citation 2

Abstract:

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Fourier transform algorithm, volatility derivatives, additive processes

30.

Fast Hilbert Transform Algorithms for Pricing Discrete Timer Options Under Stochastic Volatility Models

Number of pages: 25 Posted: 14 Jul 2014 Last Revised: 27 Oct 2015
Pingping Zeng, Yue Kuen Kwok and Wendong Zheng
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics, Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology (HKUST) - Department of Mathematics
Downloads 74 (334,352)
Citation 2

Abstract:

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timer options, Hilbert transform, stochastic volatility models

31.

Pricing Barrier and Bermudan Style Options Under Time-Changed Levy Processes: Fast Hilbert Transform Approach

Number of pages: 37 Posted: 08 Jun 2013 Last Revised: 15 Jan 2014
Pingping Zeng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 74 (334,352)

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fast Hilbert transform, time-changed Levy processes, barrier options, dividendruin model, Bermudan options

32.

Real Options Games Analysis of Sleeping Patents

Number of pages: 28 Posted: 05 Jun 2010
Chi Man Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 69 (347,472)
Citation 2

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Patent-Investment Model, Asymmetric Information, Real Options Game, Sleeping Patents

33.

Pricing Bounds and Approximations for Discrete Arithmetic Asian Options under Time-Changed Lévy Processes

Number of pages: 31 Posted: 15 Jul 2014 Last Revised: 16 Oct 2015
Pingping Zeng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 68 (350,353)
Citation 1

Abstract:

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time-changed Lévy processes, arithmetic Asian options, conditioning variable approach, partially exact and bounded approximations

34.

Patent-Investment Games Under Asymmetric Information

Number of pages: 31 Posted: 05 Jun 2010
Chi Man Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 67 (353,147)
Citation 2

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Patent-Investment Models, Asymmetric Information, Real Option Games, Sleeping Patents

35.

Pricing Exotic Variance Swaps Under 3/2-Stochastic Volatility Models

Number of pages: 26 Posted: 13 Oct 2013 Last Revised: 09 Sep 2015
Chi Yuen, Wendong Zheng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST), Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 66 (355,852)
Citation 2

Abstract:

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Variance swaps, gamma swaps, corridor swaps, 3/2-volatility model

36.

Real Options Game Models of R&D Competition between Asymmetric Firms with Spillovers

Number of pages: 32 Posted: 30 Nov 2011 Last Revised: 01 Jun 2016
Chi Man Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 63 (364,588)
Citation 1

Abstract:

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real options game, R&D competition, spillovers

37.

Game Options Analysis of the Information Role of Call Policies in Convertible Bonds

Number of pages: 38 Posted: 29 Nov 2013
Chi Man Leung, Nan Chen and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST), The Chinese University of Hong Kong (CUHK) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 55 (389,623)

Abstract:

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convertible bonds, call provision, signaling equilibrium, game options

38.

Real Options Signaling Game Models for Dynamic Acquisition Under Information Asymmetry

Number of pages: 29 Posted: 03 Jun 2016 Last Revised: 25 Feb 2018
Chi Man Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 45 (424,727)
Citation 1

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Real options signaling game, dynamic acquisition, information asymmetry, perfect Bayesian equilibrium

39.

Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance

Number of pages: 36 Posted: 01 Jan 2013 Last Revised: 20 Feb 2013
Wendong Zheng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 42 (436,285)
Citation 1

Abstract:

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saddlepoint approximation, volatility derivatives, Levy models, stochastic volatility models

40.

Numerical Algorithms for R&D Stochastic Control Models

Number of pages: 26 Posted: 30 Nov 2011 Last Revised: 16 Oct 2013
Chi Man Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 41 (440,261)
Citation 1

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stochastic control, R&D model, knowledge accumulation, finite difference schemes

41.

Recursive Algorithms for Pricing Discrete Variance Options and Volatility Swaps Under Time-Changed Lèvy Processes

Number of pages: 28 Posted: 14 Jul 2014 Last Revised: 07 Aug 2017
Wendong Zheng, Chi Yuen and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics, Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 40 (444,447)

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variance swaps, volatility swaps, variance options, time-changed Lèvy processes, discrete sampling

42.

Signaling Game Models of Equity Financing Under Information Asymmetry and Finite Project Life

Number of pages: 31 Posted: 29 Aug 2018 Last Revised: 02 Dec 2018
Qiuqi Wang and Yue Kuen Kwok
University of Waterloo - Department of Statistics and Actuarial Science and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 37 (456,990)
Citation 1

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Equity Financing, Signaling Games, Separating and Pooling Equilibriums, Real Options

43.

Willow Tree Algorithms for Pricing VIX Derivatives Under Stochastic Volatility Models

Number of pages: 29 Posted: 01 Nov 2019 Last Revised: 19 Jan 2020
Changfu Ma, Wei Xu and Yue Kuen Kwok
affiliation not provided to SSRN, Tong Ji University - Mathematical Department and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 36 (461,277)

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VIX derivatives, willow tree algorithm, affine jump-diffusion model, 3/2-model

44.

Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals

Number of pages: 38 Posted: 17 Aug 2016 Last Revised: 07 Aug 2017
Yao Tung Huang, Pingping Zeng and Yue Kuen Kwok
Hong Kong University of Science and Technology, Department of Mathematics, Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 35 (465,657)

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Variable Annuities, Lifelong Withdrawal Guarantees, Optimal Initiation, Bang-Bang Analysis, Fourier Transform Algorithm

45.

Stochastic Control Model for R&D Race in a Mixed Duopoly with Spillovers and Knowledge Stocks

Number of pages: 20 Posted: 14 Jul 2014
Jingjing Wang, Chi Man Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST), Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 31 (484,360)

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R&D races, stochastic control models, mixed duopoly, spillovers, knowledge stocks

46.

Willow Tree Algorithms for Pricing Guaranteed Minimum Withdrawal Benefits Under Jump-Diffusion and CEV Models

Number of pages: 48 Posted: 29 Jun 2018 Last Revised: 15 Nov 2019
Bing Dong, Wei Xu and Yue Kuen Kwok
Tong Ji University - School of Mathematical Sciences, Tong Ji University - Mathematical Department and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 26 (510,805)
Citation 1

Abstract:

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GMWB, Willow Tree Algorithms, Variable Annuities, Jump-Diffusion, CEV Model

47.

Analysis of Optimal Dynamic Withdrawal Policies in Withdrawal Guarantees Products

Number of pages: 38 Posted: 25 Apr 2013 Last Revised: 25 Jul 2014
Yao Tung Huang and Yue Kuen Kwok
Hong Kong University of Science and Technology, Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 24 (522,261)
Citation 2

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singular stochastic control model, guaranteed minimum withdrawal bene fit, optimal withdrawal policies, penalty charge

48.

Real Option Signaling Games of Debt Financing Using Equity Guarantee Swaps under Asymmetric Information

Number of pages: 34 Posted: 30 Aug 2019 Last Revised: 23 Dec 2019
Qiuqi Wang and Yue Kuen Kwok
University of Waterloo - Department of Statistics and Actuarial Science and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 20 (546,329)
Citation 2

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debt financing, signaling games, separating and pooling equilibriums, real options, information costs

49.

Characterization of Optimal Stopping Regions of American Asian and Lookback Options

Mathematical Finance, Vol. 16, No. 1, pp. 63-82, January 2006
Number of pages: 20 Posted: 21 Jun 2006
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 20 (546,329)
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50.

Pricing Options on Discrete Realized Variance with Partially Exact and Bounded Approximations

Number of pages: 20 Posted: 09 Sep 2015
Wendong Zheng and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 19 (552,586)

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options on discrete variance, stochastic volatility, conditioning variable method, partially exact and bounded approximations

51.

Optimal Shouting Policies of Options with Strike Reset Right

Mathematical Finance, Vol. 14, No. 3, pp. 383-401, July 2004
Number of pages: 19 Posted: 11 Jul 2004
Min Dai, Yue Kuen Kwok and Lixin Wu
National University of Singapore (NUS) - Department of Mathematics, Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 19 (552,586)
Citation 1
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52.

Quanto Lookback Options

Mathematical Finance, Vol. 14, No. 3, pp. 445-467, July 2004
Number of pages: 23 Posted: 13 Aug 2004
Min Dai, Yue Kuen Kwok and Hoi Ying Wong
National University of Singapore (NUS) - Department of Mathematics, Hong Kong University of Science & Technology - Department of Mathematics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 17 (564,916)
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Lookback options, quanto feature, early exercise policies

53.

Saddlepoint Approximations to Tail Expectations Under Non-Gaussian Base Distributions

Number of pages: 20 Posted: 13 Jun 2018 Last Revised: 06 Dec 2019
Yuantao Zhang and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 13 (590,444)

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saddlepoint approximation, tail expectation, non-Gaussian base distribution

54.

Numerical Algorithms for Research and Development Stochastic Control Models

Journal of Computational Finance, Vol. 18, No. 1, 2014
Number of pages: 28 Posted: 04 Jun 2016
Chi Man Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 0 (698,456)
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research and development, numerical algorithms

55.

Fourier Transform Algorithms for Pricing and Hedging Discretely Sampled Exotic Variance Products and Volatility Derivatives Under Additive Processes

Journal of Computational Finance, Vol. 18, No. 2, 2014
Number of pages: 28 Posted: 04 Jun 2016
Wendong Zheng and Yue Kuen Kwok
National University of Singapore (NUS) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 0 (698,456)
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56.

Numerical Pricing of Coco Bonds with Parisian Trigger Feature Using the Fortet Method

Posted: 09 Sep 2015 Last Revised: 07 Aug 2017
Chi Man Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology - Department of Mathematics

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Coco bonds, conversion triggers, Parisian feature, Fortet method