42 citations · 144 across the 29 of their papers we have counts for
9 papers · 1 filter
Optimal Static Quadratic Hedging
Tim Leung, Matthew Lorig
We propose a flexible framework for hedging a contingent claim by holding static positions in vanilla European calls, puts, bonds, and forwards. A model-free expression is derived…
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang
We study an optimal multiple stopping problem for call-type payoff driven by a spectrally negative Levy process. The stopping times are separated by constant refraction times, and…
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models
Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang
This paper studies a class of optimal multiple stopping problems driven by Lévy processes. Our model allows for a negative effective discount rate, which arises in a number of fina…
ESO Valuation with Job Termination Risk and Jumps in Stock Price
Tim Leung, Haohua Wan
Employee stock options (ESOs) are American-style call options that can be terminated early due to employment shock. This paper studies an ESO valuation framework that accounts for…
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs
Tim Leung, Xin Li, Zheng Wang
This paper studies the timing of trades under mean-reverting price dynamics subject to fixed transaction costs. We solve an optimal double stopping problem to determine the optimal…
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions
Eric Dahlgren, Tim Leung
The energy and material processing industries are traditionally characterized by very large-scale physical capital that is custom-built with long lead times and long lifetimes. How…