21 citations · 38 across the 5 of their papers we have counts for
5 papers
On the continuity of optimal stopping surfaces for jump-diffusions
Cheng Cai, Tiziano De Angelis, Jan Palczewski
We show that optimal stopping surfaces arising from time-inhomogeneous optimal stopping problems on two-dimensional jump-diffusions are continuous (…
The American put with finite-time maturity and stochastic interest rate
Cheng Cai, Tiziano De Angelis, Jan Palczewski
In this paper we study pricing of American put options on the Black and Scholes market with a stochastic interest rate and finite-time maturity. We prove that the option value is a…
A change of variable formula with applications to multi-dimensional optimal stopping problems
Cheng Cai, Tiziano De Angelis
We derive a change of variable formula for functions whose second order spatial derivatives may explode and not be integrable in the neighbourhood of…
The optimal sequence for reset controllers
Chengwai Cai, Ali Ahmadi Dastjerdi, Niranjan Saikumar +1
PID controllers cannot satisfy the high performance requirements since they are restricted by the water-bed effect. Thus, the need for a better alternative to linear PID controller…
Optimal hedging of a perpetual American put with a single trade
Cheng Cai, Tiziano De Angelis, Jan Palczewski
It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading time…