73 citations · 139 across the 27 of their papers we have counts for
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math.PR2013★ 4 cited
The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations
Xiaoshan Chen, Yu-Jui Huang, Qingshuo Song +1
We study the stochastic solution to a Cauchy problem for a degenerate parabolic equation arising from option pricing. When the diffusion coefficient of the underlying price process…
math.PR2013
Weak Convergence Methods for Approximation of Path-dependent Functionals
Qingshuo Song, George Yin, Qing Zhang
This paper provides convergence analysis for the approximation of a class of path-dependent functionals underlying a continuous stochastic process. In the first part, given a seque…