23 citations · 85 across the 29 of their papers we have counts for
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q-fin.MF2015
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE
Gechun Liang, Thaleia Zariphopoulou
In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic (power, exp…
q-fin.MF2015★ 11 cited
Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints
Huiwen Yan, Gechun Liang, Zhou Yang
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differ…
q-fin.MF2015
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…