3 papers
q-fin.MF2021
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model
Tim Leung, Yang Zhou
We study the problem of dynamically trading multiple futures whose underlying asset price follows a multiscale central tendency Ornstein-Uhlenbeck (MCTOU) model. Under this model,…
q-fin.PM2019
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework
Tim Leung, Yang Zhou
We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility…
q-fin.PR2019
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options
Tim Leung, Yang Zhou
We propose a new framework to value employee stock options (ESOs) that captures multiple exercises of different quantities over time. We also model the ESO holder's job termination…