Guang-Hua Lian

Available identifiers

Publication	Date of Publication	Type
On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures	2023-02-08	Paper
Modeling the Variance of Return Intervals Toward Volatility Prediction	2020-09-16	Paper
Pricing variance swaps under stochastic volatility and stochastic interest rate	2019-03-20	Paper
Numerically pricing American options under the generalized mixed fractional Brownian motion model	2018-11-13	Paper
Volatility swaps and volatility options on discretely sampled realized variance	2018-11-02	Paper
Perpetual Exchange Options under Jump-Diffusion Dynamics	2018-09-18	Paper
Pricing forward-start variance swaps with stochastic volatility	2016-01-04	Paper
Analytically pricing volatility swaps under stochastic volatility	2015-06-22	Paper
On the valuation of variance swaps with stochastic volatility	2014-07-04	Paper
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case	2014-02-20	Paper
Pricing VIX options with stochastic volatility and random jumps	2013-07-19	Paper
A closed-form exact solution for pricing variance swaps with stochastic volatility	2011-03-25	Paper

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