2 citations · 2 across the 2 of their papers we have counts for
4 papers
Option Pricing for the Variance Gamma Model: A New Perspective
Yuanda Chen, Zailei Cheng, Haixu Wang
The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options…
Gaussian Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims
Zailei Cheng, Youngsoo Seol
We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensi…
Precise deviations for Cox processes with a shot noise intensity
Zailei Cheng, Youngsoo Seol
We consider a Cox process with Poisson shot noise intensity which has been widely applied in insurance, finance, queue theory, statistic, and many other fields. Cox process is flex…
Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate
Zailei Cheng
Optimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous works assumes deterministic interest rate. In th…