3 citations · 10 across the 28 of their papers we have counts for
5 papers · 1 filter
Smooth Value Function with Applications in Wealth-CVaR Efficient Portfolio and Turnpike Property
Baojun Bian, Harry Zheng
In this paper we continue the study of Bian-Miao-Zheng (2011) and extend the results there to a more general class of utility functions which may be bounded and non-strictly-concav…
Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models
Guoping Xu, Harry Zheng
In this paper we derive an easily computed approximation to European basket call prices for a local volatility jump-diffusion model. We apply the asymptotic expansion method to fin…
Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact
Baojun Bian, Nan Wu, Harry Zheng
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on…
Weak Necessary and Sufficient Stochastic Maximum Principle for Markovian Regime-Switching Diffusion Models
Yusong Li, Harry Zheng
In this paper we prove a weak necessary and sufficient maximum principle for Markovian regime switching stochastic optimal control problems. Instead of insisting on the maximum con…
On Pricing Basket Credit Default Swaps
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the…