22 citations · 109 across the 34 of their papers we have counts for
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q-fin.CP2013
Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes
Helin Zhu, Fan Ye, Enlu Zhou
Fast pricing of American-style options has been a difficult problem since it was first introduced to financial markets in 1970s, especially when the underlying stocks' prices follo…
math.OC2013★ 2 cited
Information Relaxation and Dual Formulation of Controlled Markov Diffusions
Fan Ye, Enlu Zhou
Information relaxation and duality in Markov decision processes have been studied recently by several researchers with the goal to derive dual bounds on the value function. In this…
math.OC2013★ 2 cited
Gradient-Based Adaptive Stochastic Search for Non-Differentiable Optimization
Enlu Zhou, Jiaqiao Hu
In this paper, we propose a stochastic search algorithm for solving general optimization problems with little structure. The algorithm iteratively finds high quality solutions by r…