11 citations · 13 across the 4 of their papers we have counts for
Showing q-fin.MFShow all
2 papers · 1 filter
q-fin.MF2023
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…
q-fin.MF2017★ 2 cited
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…