Jia Wei Lim

Available identifiers

zbMath Open lim.jia-weiMaRDI QIDQ1703025

List of research outcomes

Publication	Date of Publication	Type
Exact simulation of a truncated Lévy subordinator	2024-09-08	Paper
An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options	2024-05-06	Paper
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds	2021-03-23	Paper
A variation of the Azéma martingale and drawdown options	2019-12-05	Paper
Exact simulation of generalised Vervaat perpetuities	2019-07-15	Paper
Recursive formula for the double-barrier Parisian stopping time	2018-09-26	Paper
An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion	2018-03-01	Paper
Parisian option pricing: a recursive solution for the density of the Parisian stopping time	2014-01-23	Paper

Research outcomes over time

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