12 citations · 12 across the 3 of their papers we have counts for
3 papers
q-fin.CP2021
Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processes
Li Chen, Guang Zhang
We present a new approximation scheme for the price and exercise policy of American options. The scheme is based on Hermite polynomial expansions of the transition density of the u…
cs.CE2005
Projecting the Forward Rate Flow onto a Finite Dimensional Manifold
Erhan Bayraktar, Li Chen, H. Vincent Poor
Given a Heath-Jarrow-Morton (HJM) interest rate model and a parametrized family of finite dimensional forward rate curves , this paper provides a techniq…
cs.IT2005★ 12 cited
Consistency Problems for Jump-Diffusion Models
Erhan Bayraktar, Li Chen, H. Vincent Poor
In this paper consistency problems for multi-factor jump-diffusion models, where the jump parts follow multivariate point processes are examined. First the gap between jump-diffusi…