1 citations · 1 across the 3 of their papers we have counts for
7 papers
Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times
Gechun Liang, Haodong Sun
The paper solves constrained Dynkin games with risk-sensitive criteria, where two players are allowed to stop at two independent Poisson random intervention times, via the theory o…
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Gechun Liang, Xingchun Wang
This paper proposes a hybrid credit risk model, in closed form, to price vulnerable options with stochastic volatility. The distinctive features of the model are threefold. First,…
Systems of ergodic BSDEs arising in regime switching forward performance processes
Ying Hu, Gechun Liang, Shanjian Tang
We introduce and solve a new type of quadratic backward stochastic differential equation systems defined in an infinite time horizon, called \emph{ergodic BSDE systems}. Such syste…
Analysis of the optimal exercise boundary of American put options with delivery lags
Gechun Liang, Zhou Yang
A make-your-mind-up option is an American derivative with delivery lags. We show that its put option can be decomposed as a European put and a new type of American-style derivative…
Dynkin games with Poisson random intervention times
Gechun Liang, Haodong Sun
This paper introduces a new class of Dynkin games, where the two players are allowed to make their stopping decisions at a sequence of exogenous Poisson arrival times. The value fu…
Dynkin Game of Convertible Bonds and Their Optimal Strategy
Huiwen Yan, Zhou Yang, Fahuai Yi +1
This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variatio…