| Publication | Date of Publication | Type |
|---|
Valuation of American maximum exchange rate quanto lookback options
Journal of Computational and Applied Mathematics | 2025-12-29 | Paper |
Valuation of exchange option with stochastic liquidity risk: a probabilistic approach
East Asian Mathematical Journal | 2025-04-22 | Paper |
Variational inequality arising from variable annuity with mean reversion environment
Journal of Inequalities and Applications | 2023-12-21 | Paper |
| Pricing of vulnerable power exchange option under the hybrid model | 2022-06-21 | Paper |
An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
Chaos, Solitons and Fractals | 2022-04-26 | Paper |
| Simplified approach to valuation of vulnerable exchange option under a reduced-form model | 2021-11-15 | Paper |
| A probabilistic approach for valuing exchange option with default risk | 2021-05-05 | Paper |
The contact geometry of the spatial circular restricted 3-body problem
Abhandlungen aus dem Mathematischen Seminar der Universität Hamburg | 2021-05-04 | Paper |
An integral equation approach for optimal investment policies with partial reversibility
Chaos, Solitons and Fractals | 2020-11-27 | Paper |
Cauchy noise removal by weighted nuclear norm minimization
Journal of Scientific Computing | 2020-04-16 | Paper |
Efficient valuation of a variable annuity contract with a surrender option
Japan Journal of Industrial and Applied Mathematics | 2020-02-28 | Paper |
Efficient lattice method for valuing of options with barrier in a regime switching model
Discrete Dynamics in Nature and Society | 2017-11-13 | Paper |
Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
Chaos, Solitons and Fractals | 2017-11-10 | Paper |
Closed-form pricing formula for exchange option with credit risk
Chaos, Solitons and Fractals | 2017-10-18 | Paper |
The analytic approach for the stochastic projection of the public pension fund
Probability in the Engineering and Informational Sciences | 2017-09-19 | Paper |
Pricing of quanto chained options
Communications of the Korean Mathematical Society | 2016-09-09 | Paper |
Probability for transition of business cycle and pricing of options with correlated credit risk
Hacettepe Journal of Mathematics and Statistics | 2016-09-07 | Paper |
On convergence of Laplace inversion for the American put option under the CEV model
Journal of Computational and Applied Mathematics | 2016-05-04 | Paper |
Efficient pricing of Bermudan options using recombining quadratures
Journal of Computational and Applied Mathematics | 2015-08-26 | Paper |
On pricing options with stressed-beta in a reduced form model
Review of Derivatives Research | 2015-07-09 | Paper |
Exchange option in a two-state Poisson CAPM
Journal of the Korean Statistical Society | 2014-08-07 | Paper |
| scientific article; zbMATH DE number 2088420 (Why is no real title available?) | 2004-08-12 | Paper |
