All Stories

  1. Valuation of VIX and target volatility options with affine GARCH models

    Article • Journal of Futures Markets, September 2020, Wiley

    Dr Zhenyu Cui

  2. A Markov chain approximation scheme for option pricing under skew diffusions

    Article • Quantitative Finance, July 2020, Taylor & Francis

    Dr Zhenyu Cui

  3. An efficient and stable method for short maturity Asian options

    Article • Journal of Futures Markets, July 2018, Wiley

    Dr Zhenyu Cui

  4. Single-Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes

    Article • European Journal of Operational Research, October 2017, Elsevier

    Dr Zhenyu Cui

  5. Valuation of American Strangles Through an Optimized Lower–Upper Bound Approach

    Article • Journal of the Operations Research Society of China, August 2017, Springer Science + Business Media

    Dr Zhenyu Cui

  6. Hybrid Laplace transform and finite difference methods for pricing American options under complex models

    Article • Computers & Mathematics with Applications, August 2017, Elsevier

    Dr Zhenyu Cui

  7. ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS

    Article • Mathematical Finance, December 2014, Wiley

    Dr Zhenyu Cui

  8. Comment on “Modeling non-monotone risk aversion using SAHARA utility functions” [J. Econ. Theory 146 (2011) 2075–2092]

    Article • Journal of Economic Theory, September 2014, Elsevier

    Dr Zhenyu Cui

  9. A new proof of an Engelbert–Schmidt type zero–one law for time-homogeneous diffusions

    Article • Statistics & Probability Letters, June 2014, Elsevier

    Dr Zhenyu Cui

  10. Convergence of the discrete variance swap in time-homogeneous diffusion models

    Article • Quantitative Finance Letters, May 2014, Taylor & Francis

    Dr Zhenyu Cui

  11. NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS

    Article • International Journal of Theoretical and Applied Finance, November 2012, World Scientific Pub Co Pte Lt

    Dr Zhenyu Cui

  12. Correction note for ‘The large-maturity smile for the Heston model’

    Article • Finance and Stochastics, August 2012, Springer Science + Business Media

    Dr Zhenyu Cui

  13. Comment on “Option pricing under the Merton model of the short rate” by Kung and Lee [Math. Comput. Simul. 80 (2009) 378–386]

    Article • Mathematics and Computers in Simulation, September 2010, Elsevier

    Dr Zhenyu Cui

  14. Omega Risk Model with Tax

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  15. Stochastic Areas of Diffusions and Applications in Risk Theory

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  16. Prices and Asymptotics for Discrete Variance Swaps

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  17. Nearly Exact Option Price Simulation Using Characteristic Functions

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  18. A Note on Exchange Options Under Stochastic Interest Rates

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  19. Convergence of the Discrete Variance Swap in Time-Homogeneous Diffusion Models

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  20. On the Martingale Property in Stochastic Volatility Models Based on Time-Homogeneous Diffusions

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  21. A New Proof of the Engelbert-Schmidt Zero-One Law for Time-Homogeneous Diffusions

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  22. Comment on 'The Large-Maturity Smile for the Heston Model'

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  23. Comment on 'Option Pricing Under the Merton Model of the Short Rate'

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui