Pingping Zeng

Available identifiers

Publication	Date of Publication	Type
Speed and duration of drawdown under general Markov models	2024-07-23	Paper
Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps	2024-06-17	Paper
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps	2024-01-31	Paper
Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps	2024-01-25	Paper
A transform-based method for pricing Asian options under general two-dimensional models	2023-12-14	Paper
Pricing contingent convertibles with idiosyncratic risk	2023-10-23	Paper
Computable error bounds of multidimensional Euler inversion and their financial applications	2022-12-12	Paper
Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes	2018-11-14	Paper
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model	2018-09-06	Paper
Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals	2018-03-12	Paper
FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS	2016-01-08	Paper
Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach	2014-09-05	Paper

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