42 citations · 43 across the 12 of their papers we have counts for
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q-fin.PR2016
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…
q-fin.PR2013
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…
q-fin.PR2013★ 42 cited
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…