2 citations · 2 across the 8 of their papers we have counts for
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q-fin.MF2014
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
Tim Leung, Xin Li, Zheng Wang
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that in…
q-fin.CP2014★ 2 cited
Leveraged {ETF} implied volatilities from {ETF} dynamics
Tim Leung, Matthew Lorig, Andrea Pascucci
The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship…