Shican Liu

MaRDI QIDQ2020533zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Mean-variance portfolio with wealth and volatility dependent risk aversion Quantitative Finance	2024-08-26	Paper
The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach Journal of Function Spaces	2021-10-22	Paper
Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses Journal of Computational and Applied Mathematics	2021-07-29	Paper
Variance swap pricing under hybrid jump model East Asian Journal on Applied Mathematics	2021-04-27	Paper
Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion Journal of Computational and Applied Mathematics	2021-04-23	Paper
Variance swap pricing under Markov-modulated jump-diffusion model Discrete Dynamics in Nature and Society	2021-03-12	Paper
Optimal portfolio selection of mean-variance utility with stochastic interest rate Journal of Function Spaces	2021-01-25	Paper
Option pricing under the jump diffusion and multifactor stochastic processes Journal of Function Spaces	2019-05-16	Paper

Research outcomes over time

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