3 citations · 7 across the 4 of their papers we have counts for
5 papers
Data-driven Hedging of Stock Index Options via Deep Learning
Jie Chen, Lingfei Li
We develop deep learning models to learn the hedge ratio for S&P500 index options directly from options data. We compare different combinations of features and show that a feedforw…
A General Approach for Parisian Stopping Times under Markov Processes
Gongqiu Zhang, Lingfei Li
We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensio…
Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation
Christian Meier, Lingfei Li, Gongqiu Zhang
We develop a new simulation method for multidimensional diffusions with sticky boundaries. The challenge comes from simulating the sticky boundary behavior, for which standard meth…
The stability and rapid exponential stabilization of heat equation in non-cylindrical domain
Lingfei Li, Yujing Tang, Hang Gao
This paper is devoted to the study of the stability and stabilizability of heat equation in non-cylindrical domain. The interesting thing is that there is a class of initial values…
Parametric Inference for Discretely Observed Subordinate Diffusions
Weiwei Guo, Lingfei Li
Subordinate diffusions are constructed by time changing diffusion processes with an independent Lévy subordinator. This is a rich family of Markovian jump processes which exhibit a…