22 citations · 31 across the 5 of their papers we have counts for
4 papers · 1 filter
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…