2 papers
q-fin.CP2021
Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processes
Li Chen, Guang Zhang
We present a new approximation scheme for the price and exercise policy of American options. The scheme is based on Hermite polynomial expansions of the transition density of the u…
q-fin.PM2020
Pairs Trading with Nonlinear and Non-Gaussian State Space Models
Guang Zhang
This paper studies pairs trading using a nonlinear and non-Gaussian state-space model framework. We model the spread between the prices of two assets as an unobservable state varia…