3 citations · 7 across the 4 of their papers we have counts for
4 papers
Data-driven Hedging of Stock Index Options via Deep Learning
Jie Chen, Lingfei Li
We develop deep learning models to learn the hedge ratio for S&P500 index options directly from options data. We compare different combinations of features and show that a feedforw…
Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation
Christian Meier, Lingfei Li, Gongqiu Zhang
We develop a new simulation method for multidimensional diffusions with sticky boundaries. The challenge comes from simulating the sticky boundary behavior, for which standard meth…
Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach
Dongjae Lim, Lingfei Li, Vadim Linetsky
We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as thei…
Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models
Lingfei Li, Vadim Linetsky
This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by Lévy subordinators. We construct their sample path decomposition, show that th…