42 citations · 43 across the 12 of their papers we have counts for
13 papers
Structure-Aware Variational State Preparation for Quantum Basket Option Pricing
Dongwoo Kim, Zhenyu Cui, Daniel K. Park +1
Basket option pricing often relies on Monte Carlo estimation, for which quantum amplitude estimation (QAE) provides a quadratic speed-up. However, the practical benefit of QAE can…
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
Zhenyu Cui, Anne MacKay, Marie-Claude Vachon
We consider the pricing of variable annuities (VAs) with general fee structures under popular stochastic volatility models such as Heston, Hull-White, Scott, -Hypergeometric, $3…
Delta family approach for the stochastic control problems of utility maximization
Jingtang Ma, Zhengyang Lu, Zhenyu Cui
In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equati…
Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models
Jingtang Ma, Wensheng Yang, Zhenyu Cui
Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series and implied volatility smiles of SPX options. They are conti…
SINH-acceleration for B-spline projection with Option Pricing Applications
Svetlana Boyarchenko, Sergei Levendorskiĭ, J. Lars Kirkby +1
We clarify the relations among different Fourier-based approaches to option pricing, and improve the B-spline probability density projection method using the sinh-acceleration tech…
Optimal Unbiased Estimation for Expected Cumulative Cost
Zhenyu Cui, Michael C. Fu, Yijie Peng +1
We consider estimating an expected infinite-horizon cumulative discounted cost/reward contingent on an underlying stochastic process by Monte Carlo simulation. An unbiased estimato…
On "A General Framework for Pricing Asian Options Under Markov Processes"
Zhenyu Cui, Chihoon Lee, Yanchu Liu
Cai, Song and Kou (2015) [Cai, N., Y. Song, S. Kou (2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3): 540-554] made a breakthrough by pr…
Omega risk model with tax
Zhenyu Cui
In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the…
A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions
Zhenyu Cui
In this paper we give a new proof to an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions, which provides deterministic criteria for the convergence of integral f…
Stochastic areas of diffusions and applications in risk theory
Zhenyu Cui
In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic…
Convergence of the discrete variance swap in time-homogeneous diffusion models
Carole Bernard, Zhenyu Cui, Don McLeish
In stochastic volatility models based on time-homogeneous diffusions, we provide a simple necessary and sufficient condition for the discretely sampled fair strike of a variance sw…
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Carole Bernard, Zhenyu Cui, Don McLeish
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. B…
Prices and Asymptotics for Discrete Variance Swaps
Carole Bernard, Zhenyu Cui
We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochast…