10 citations · 18 across the 11 of their papers we have counts for
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q-fin.CP2021
Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations
Runhuan Feng, Peng Li
Nested stochastic modeling has been on the rise in many fields of the financial industry. Such modeling arises whenever certain components of a stochastic model are stochastically…
q-fin.CP2013★ 1 cited
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
Runhuan Feng, Hans W. Volkmer
In this paper we explore an identity in distribution of hitting times of a finite variation process (Yor's process) and a diffusion process (geometric Brownian motion with affine d…