2 citations · 3 across the 6 of their papers we have counts for
6 papers
Pricing basket options with the first three moments of the basket: log-normal models and beyond
Dongdong Hu, Hasanjan Sayit, Frederi Viens
Options on baskets (linear combinations) of assets are notoriously challenging to price using even the simplest log-normal continuous-time stochastic models for the individual asse…
Unconditional convergence of conservative spectral Galerkin methods for the coupled fractional nonlinear Klein-Gordon-Schrödinger equations
Dongdong Hu, Yayun Fu, Wenjun Cai +1
In this work, two novel classes of structure-preserving spectral Galerkin methods are proposed which based on the Crank-Nicolson scheme and the exponential scalar auxiliary variabl…
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
Nuerxiati Abudurexiti, Kai He, Dongdong Hu +3
The paper Zhao et al. (2015) shows that mean-CVaR-skewness portfolio optimization problems based on asymetric Laplace (AL) distributions can be transformed into quadratic optimizat…
A note on closed-form spread option valuation under log-normal models
Nuerxiati Abudurexiti, Kai He, Dongdong Hu +1
In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1], closed form approximations for spread call option prices were studied under the log normal models. In this…
Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture Lévy Motions
Dongdong Hu, Hasanjan Sayit, Svetlozar T. Rachev
The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models. In this note, we also us…
A Fourth-Order Compact ADI Scheme for Two-Dimensional Riesz Space Fractional Nonlinear Reaction-Diffusion Equation
Dongdong Hu, Xuenian Cao
In this paper, a second-order backward difference formula (abbr. BDF2) is used to approximate first-order time partial derivative, the Riesz fractional derivatives are approximated…