3 citations · 10 across the 28 of their papers we have counts for
4 papers · 1 filter
Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions
Baojun Bian, Harry Zheng
In this paper we aim to address two questions faced by a long-term investor with a power-type utility at high levels of wealth: one is whether the turnpike property still holds for…
On Correlated Defaults and Incomplete Information
Wai-Ki Ching, Jia-Wen Gu, Harry Zheng
In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete inf…
A robust algorithm and convergence analysis for static replications of nonlinear payoffs
Jingtang Ma, Dongya Deng, Harry Zheng
In this paper we propose a new robust algorithm to find the optimal static replicating portfolios for general nonlinear payoff functions and give the estimate of the rate of conver…
Intensity Process for a Pure Jump Lévy Structural Model with Incomplete Information
Xin Dong, Harry Zheng
In this paper we discuss a credit risk model with a pure jump Lévy process for the asset value and an unobservable random barrier. The default time is the first time when the asset…