3 citations · 3 across the 3 of their papers we have counts for
3 papers
q-fin.CP2026
Valuation of variable annuities under the Volterra mortality and rough Heston models
Wenyuan Li, Haoqi Lyu
This paper investigates the valuation of variable annuity contracts with an early surrender option under non-Markovian models. Moreover, policyholders are provided with guaranteed…
q-fin.MF2025
Option pricing under non-Markovian stochastic volatility models: A deep signature approach
Jingtang Ma, Xianglin Wu, Wenyuan Li
This paper studies the pricing problem in which the underlying asset follows a non-Markovian stochastic volatility model. Classical partial differential equation methods face signi…
q-fin.CP2017★ 3 cited
Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model
Jingtang Ma, Wenyuan Li, Harry Zheng
The aim of this paper is to study the fast computation of the lower and upper bounds on the value function for utility maximization under the Heston stochastic volatility model wit…