Pingping Zeng

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
Speed and duration of drawdown under general Markov models Quantitative Finance	2024-07-23	Paper
Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps Operations Research Letters	2024-06-17	Paper
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps Mathematical Finance	2024-01-31	Paper
Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps Journal of Scientific Computing	2024-01-25	Paper
A transform-based method for pricing Asian options under general two-dimensional models Quantitative Finance	2023-12-14	Paper
Pricing contingent convertibles with idiosyncratic risk International Journal of Economic Theory	2023-10-23	Paper
Computable error bounds of multidimensional Euler inversion and their financial applications Operations Research Letters	2022-12-12	Paper
Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes Quantitative Finance	2018-11-14	Paper
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model Applied Mathematical Finance	2018-09-06	Paper
Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals SIAM Journal on Financial Mathematics	2018-03-12	Paper
Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models International Journal of Theoretical and Applied Finance	2016-01-08	Paper
Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach SIAM Journal on Scientific Computing	2014-09-05	Paper

Research outcomes over time

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