Xenos Chang-Shuo Lin

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
Option pricing under a double-exponential jump-diffusion model with varying severity of jumps Probability in the Engineering and Informational Sciences	2025-07-03	Paper
Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events Applied Stochastic Models in Business and Industry	2024-07-18	Paper
Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility Mathematical Methods of Operations Research	2022-02-11	Paper
Corrected discrete approximations for multiple window scan statistics of one-dimensional Poisson processes Methodology and Computing in Applied Probability	2020-05-04	Paper
A note on the never-early-exercise region of American power exchange options Operations Research Letters	2018-09-28	Paper
Corrected discrete approximations for the conditional and unconditional distributions of the continuous scan statistic Journal of Applied Probability	2018-09-26	Paper
Option pricing under jump-diffusion models with mean-reverting bivariate jumps Operations Research Letters	2018-08-27	Paper
Analysis of a jump-diffusion option pricing model with serially correlated jump sizes Communications in Statistics: Theory and Methods	2018-04-11	Paper
Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process Computers & Operations Research	2016-11-17	Paper

Research outcomes over time

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