22 citations · 31 across the 5 of their papers we have counts for
6 papers
Simulation of stochastic volatility models via operator splitting schemes
Lilian Hu, Congxin He, Yue Kuen Kwok +1
The standard Euler discretization schemes for numerical option pricing under stochastic volatility models are known to exhibit high biases and potential unreliability. The alternat…
A General Approach for Lookback Option Pricing under Markov Models
Gongqiu Zhang, Lingfei Li
We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integra…
A General Approach for Parisian Stopping Times under Markov Processes
Gongqiu Zhang, Lingfei Li
We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensio…
Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation
Christian Meier, Lingfei Li, Gongqiu Zhang
We develop a new simulation method for multidimensional diffusions with sticky boundaries. The challenge comes from simulating the sticky boundary behavior, for which standard meth…
A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface
Wenyong Zhang, Lingfei Li, Gongqiu Zhang
We propose a two-step framework for predicting the implied volatility surface over time without static arbitrage. In the first step, we select features to represent the surface and…
Markov Chain Approximation of One-Dimensional Sticky Diffusions
Christian Meier, Lingfei Li, Gongqiu Zhang
We develop continuous time Markov chain (CTMC) approximation of one-dimensional diffusions with a lower sticky boundary. Approximate solutions to the action of the Feynman-Kac oper…