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…
q-fin.PR2013
An Optimal Pairs-Trading Rule
Qingshuo Song, Qing Zhang
This paper is concerned with a pairs trading rule. The idea is to monitor two historically correlated securities. When divergence is underway, i.e., one stock moves up while the ot…
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…