549 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Hong Kong University of Science and TechnologyHK16 papers
- Chinese Academy of SciencesCN3 papers
- National University of SingaporeSG3 papers
- South China University of TechnologyCN3 papers
- University of Hong KongHK3 papers
- Chongqing UniversityCN2 papers
- East China Normal UniversityCN2 papers
- Guangzhou UniversityCN2 papers
- Harvard UniversityUS2 papers
- Institute of PhysicsPL2 papers
- National Laboratory for SuperconductivityCN2 papers
- Oak Ridge National LaboratoryUS2 papers
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q-fin.CP2026
Simulation of stochastic volatility models via operator splitting schemes
Lilian Hu, Congxin He, Yue Kuen Kwok +1
The standard Euler discretization schemes for numerical option pricing under stochastic volatility models are known to exhibit high biases and potential unreliability. The alternat…
q-fin.CP2026
Efficient simulation schemes for pricing options under the Ornstein--Uhlenbeck driven stochastic volatility model
Congxin He, Yue Kuen Kwok
We develop an efficient Monte Carlo simulation scheme for pricing options under the Ornstein-Uhlenbeck driven stochastic volatility model via the operator splitting approach. With…