Wen-Ting Chen

Available identifiers

zbMath Open chen.wentingMaRDI QIDQ315620

List of research outcomes

Publication	Date of Publication	Type
Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps	2024-02-02	Paper
AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS	2023-09-20	Paper
On a class of estimation and test for long memory	2022-07-01	Paper
Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives	2022-06-24	Paper
Pricing credit default swaps with Parisian and Parasian default mechanics	2022-06-21	Paper
Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching	2022-03-22	Paper
Randomized Parallel Algorithm for Maximizing Nonsubmodular Function Subject to Cardinality Constraint	2022-02-01	Paper
The inertial relaxed algorithm with Armijo-type line search for solving multiple-sets split feasibility problem	2022-01-26	Paper
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean	2021-05-05	Paper
Analytically pricing double barrier options based on a time-fractional Black-Scholes equation	2020-10-12	Paper
Stock loan valuation under a stochastic interest rate model	2020-10-11	Paper
An explicit closed-form analytical solution for European options under the CGMY model	2020-10-07	Paper
A Monte-Carlo based approach for pricing credit default swaps with regime switching	2020-02-05	Paper
Pricing European call options under a hard-to-borrow stock model	2019-11-29	Paper
An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model.	2019-08-05	Paper
A HODIE finite difference scheme for pricing American options	2019-03-04	Paper
OPTION PRICING UNDER THE KOBOL MODEL	2018-11-16	Paper
Numerically pricing American options under the generalized mixed fractional Brownian motion model	2018-11-13	Paper
Pricing credit default swaps under a multi-scale stochastic volatility model	2018-11-13	Paper
The pricing of credit default swaps under a generalized mixed fractional Brownian motion	2018-09-20	Paper
Pricing American-style Parisian up-and-out call options	2018-07-13	Paper
Pricing Parisian and Parasian options analytically	2016-10-05	Paper
An inverse finite element method for pricing American options	2016-09-22	Paper
A predictor-corrector approach for pricing American options under the finite moment log-stable model	2015-09-07	Paper
Pricing Parisian down-and-in options	2015-05-15	Paper
Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative	2014-09-19	Paper
Pricing perpetual American puts under multi-scale stochastic volatility	2012-12-03	Paper
SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?	2012-03-13	Paper
A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility	2011-12-18	Paper
Pricing perpetual American options under a stochastic-volatility model with fast mean reversion	2011-07-11	Paper
A spectral-collocation method for pricing perpetual American puts with stochastic volatility	2011-06-27	Paper
OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY	2010-11-24	Paper
A new analytical approximation for European puts with stochastic volatility	2010-05-21	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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