2 papers
q-fin.MF2025
Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach
Yuhao Liu, Pingping Jiang, Gongqiu Zhang
We propose a new financial model, the stochastic volatility model with sticky drawdown and drawup processes (SVSDU model), which enables us to capture the features of winning and l…
q-fin.CP2025
Pricing American Parisian Options under General Time-Inhomogeneous Markov Models
Yuhao Liu, Nian Yang, Gongqiu Zhang
This paper develops general approaches for pricing various types of American-style Parisian options (down-in/-out, perpetual/finite-maturity) with general payoff functions based on…