| Publication | Date of Publication | Type |
|---|
Optimal periodic dividends with penalty payments under a diffusion model
Communications in Statistics. Theory and Methods | 2024-11-20 | Paper |
Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
International Journal of Computer Mathematics | 2024-06-05 | Paper |
scientific article; zbMATH DE number 7699471 (Why is no real title available?)
| 2023-06-20 | Paper |
Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
Chaos, Solitons and Fractals | 2022-04-21 | Paper |
Valuation on compound power options under double stochastic volatility jump diffusion model
| 2021-09-29 | Paper |
Pricing geometric average trigger reset option with predetermined levels in an affine diffusion model with double jumps
| 2021-07-01 | Paper |
Pricing catastrophe equity put options in a mixed fractional Brownian motion environment
Mathematical Problems in Engineering | 2021-05-14 | Paper |
Option pricing under two-factor stochastic volatility jump-diffusion model
Complexity | 2020-11-05 | Paper |
A perturbed risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
| 2020-08-12 | Paper |
Pricing forward-start options in a stochastic interest rate and volatility model with jump risks
| 2019-10-02 | Paper |
Analysis on the ruin time of risk models with phase-type claims under a threshold dividend strategy
| 2019-09-20 | Paper |
Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
Complexity | 2019-09-09 | Paper |
Analysis of the ruin time of threshold dividend strategy risk model under stochastic environment
| 2019-02-22 | Paper |
Valuation on an outside-reset option with multiple resettable levels and dates
Complexity | 2019-02-18 | Paper |
Pricing European discrete barrier option based on Bates model
| 2018-10-22 | Paper |
Valuation on American put option in an affine diffusion model with double jumps
| 2018-07-18 | Paper |
Pricing forward-starting power Asian options with floating strike price
| 2018-07-18 | Paper |
The Erlang(2) risk process with dependence under a multi-layer dividend strategy
| 2017-10-20 | Paper |
scientific article; zbMATH DE number 6746497 (Why is no real title available?)
| 2017-07-14 | Paper |
Pricing of interest rate derivatives based on affine jump diffusion model
| 2017-07-14 | Paper |
Monte Carlo simulations with dual variables pricing of barrier options in a stochastic volatility model
| 2017-01-06 | Paper |
scientific article; zbMATH DE number 6612856 (Why is no real title available?)
| 2016-08-10 | Paper |
A structural credit risk model with stochastic volatility and jumps
International Journal of Applied Mathematics and Statistics | 2016-06-30 | Paper |
Pricing American put option on zero-coupon bond in a jump-extended CIR model
Communications in Nonlinear Science and Numerical Simulation | 2016-01-26 | Paper |
American continuous-installment options of barrier type
Journal of Systems Science and Complexity | 2015-11-10 | Paper |
Pricing American continuous-installment options under stochastic volatility model
Journal of Mathematical Analysis and Applications | 2014-12-19 | Paper |
Pricing an American binary option in a double exponential jump-diffusion model
| 2012-01-27 | Paper |
A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework
Journal of Systems Science and Complexity | 2011-02-25 | Paper |
scientific article; zbMATH DE number 5846090 (Why is no real title available?)
| 2011-02-05 | Paper |
Valuation of American option in a double exponential jump-diffusion model with stochastic volatility
| 2010-02-12 | Paper |
Pricing European options under a double exponential jump-diffusion model with multi-factor CIR market structure risks
| 2010-02-12 | Paper |
Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
Journal of Applied Mathematics and Decision Sciences | 2009-11-23 | Paper |
Pathwise uniqueness for solutions of a class of stochastic differential equation and its applications
| 2009-11-11 | Paper |
Forecasting of stock price based on both genetic algorithm and improved Elman neural network
| 2009-11-11 | Paper |
scientific article; zbMATH DE number 5583470 (Why is no real title available?)
| 2009-07-22 | Paper |
Pricing European options in a bivariate jump-diffusion model
| 2009-07-22 | Paper |
Solution to a class of stochastic optimal control problem with monotone controls
| 2009-07-22 | Paper |
Ruin probabilities with credit risk model under effect of Markov chain interest
| 2009-07-22 | Paper |
scientific article; zbMATH DE number 5284489 (Why is no real title available?)
| 2008-06-03 | Paper |
Credit spreads in a reduced-form approach with jump risks
| 2008-04-04 | Paper |
Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison
Applied Mathematics. Series B (English Edition) | 2008-01-14 | Paper |
Pricing reload options with stochastic interest rate under Ornstein-Uhlenbeck processes
| 2007-12-18 | Paper |
Dynamic asset allocation with stochastic interest rates in jump-risk
| 2006-12-05 | Paper |
scientific article; zbMATH DE number 5033208 (Why is no real title available?)
| 2006-06-16 | Paper |
scientific article; zbMATH DE number 2134466 (Why is no real title available?)
| 2005-02-16 | Paper |
