Nian Yang

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Contracting with cost synergies: continuous-time double-sided moral hazard Journal of Economic Dynamics & Control	2025-06-11	Paper
An option pricing model with double-exponential jumps in returns and GARCH diffusion in volatilities Operations Research Letters	2025-05-05	Paper
Asymptotics for the survival probability of time-inhomogeneous diffusion processes Operations Research Letters	2023-07-03	Paper
Multilevel field-split preconditioners with domain decomposition for steady and unsteady flow problems Computer Physics Communications	2023-05-04	Paper
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps Journal of Economic Dynamics and Control	2021-11-16	Paper
The principle of not feeling the boundary for the SABR model Quantitative Finance	2019-09-26	Paper
A new delta expansion for multivariate diffusions via the Itô-Taylor expansion Journal of Econometrics	2019-04-30	Paper
The survival probability of the SABR model: asymptotics and application Quantitative Finance	2019-02-06	Paper
Approximate arbitrage-free option pricing under the SABR model Journal of Economic Dynamics and Control	2018-08-09	Paper

Research outcomes over time

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