3 citations · 4 across the 2 of their papers we have counts for
2 papers
q-fin.MF2019★ 3 cited
Deep-learning based numerical BSDE method for barrier options
Bing Yu, Xiaojing Xing, Agus Sudjianto
As is known, an option price is a solution to a certain partial differential equation (PDE) with terminal conditions (payoff functions). There is a close association between the so…
math.PR2016★ 1 cited
Optimal Dividend and Investment Problems under Sparre Andersen Model
Lihua Bai, Jin Ma, Xiaojing Xing
In this paper we study a class of optimal dividend and investment problems assuming that the underlying reserve process follows the Sparre Andersen model, that is, the claim freque…