42 citations · 43 across the 12 of their papers we have counts for
5 papers · 1 filter
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…