Liming Feng

Available identifiers

Publication	Date of Publication	Type
Constant elasticity of variance models with target zones	2022-08-15	Paper
Simulating Lévy Processes from Their Characteristic Functions and Financial Applications	2018-04-16	Paper
Optimal deleveraging with nonlinear temporary price impact	2016-10-06	Paper
Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact	2014-06-26	Paper
Inverting analytic characteristic functions and financial applications	2014-01-23	Paper
Pricing Bermudan options in Lévy process models	2014-01-23	Paper
Subspace accelerated matrix splitting algorithms for asymmetric and symmetric linear complementarity problems	2013-12-13	Paper
On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process	2012-01-04	Paper
On the solution of complementarity problems arising in American options pricing	2011-11-15	Paper
Computing exponential moments of the discrete maximum of a Lévy process and lookback options	2010-04-22	Paper
An Algorithm for Linear Complementarity and its Application in American Options Pricing	2010-01-22	Paper
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach	2009-08-13	Paper
PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH	2008-08-21	Paper

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