11 citations · 11 across the 2 of their papers we have counts for
2 papers
q-fin.PR2026
A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions
Qinwen Zhu, Wen Chen, Nicolas Langrené
This paper develops a deep learning framework for pricing convertible bonds with path-dependent downward reset and issuer call provisions governed by rolling-window triggers. We fo…
q-fin.MF2020★ 11 cited
Markovian approximation of the rough Bergomi model for Monte Carlo option pricing
Qinwen Zhu, Grégoire Loeper, Wen Chen +1
The recently developed rough Bergomi (rBergomi) model is a rough fractional stochastic volatility (RFSV) model which can generate more realistic term structure of at-the-money vola…