Gongqiu Zhang

Available identifiers

zbMath Open zhang.gongqiuMaRDI QIDQ893127

List of research outcomes

Publication	Date of Publication	Type
Speed and duration of drawdown under general Markov models	2024-07-23	Paper
Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps	2024-01-25	Paper
A general approach for lookback option pricing under Markov models	2023-09-25	Paper
A general method for analysis and valuation of drawdown risk	2023-07-06	Paper
A general approach for Parisian stopping times under Markov processes	2023-07-06	Paper
A two-step framework for arbitrage-free prediction of the implied volatility surface	2023-06-20	Paper
Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation	2022-12-12	Paper
Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients	2022-09-23	Paper
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation	2022-08-19	Paper
A Fourier transform method for solving backward stochastic differential equations	2022-06-03	Paper
Markov chain approximation of one-dimensional sticky diffusions	2022-01-18	Paper
Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation	2021-07-09	Paper
Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior	2020-10-20	Paper
Error analysis of finite difference and Markov chain approximations for option pricing	2018-08-16	Paper
Pure jump models for pricing and hedging VIX derivatives	2018-08-09	Paper
Option Pricing in Some Non-Lévy Jump Models	2016-07-20	Paper
An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance	2015-11-13	Paper

Research outcomes over time

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