Wensheng Yang

Convergence Rate Analysis for the Continuous-Time Markov Chain Approximation of Occupation Time Derivatives and Asian Option Greeks

Zhenyu Cui, Jingtang Ma, Wensheng Yang, 2019 .

Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models

Zhenyu Cui, Jingtang Ma, Wensheng Yang, 2021, SSRN Electronic Journal.

CTMC integral equation method for American options under stochastic local volatility models

Zhenyu Cui, Jingtang Ma, Wensheng Yang, 2021, Journal of Economic Dynamics and Control.

Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates

Zhenyu Cui, Jingtang Ma, Wensheng Yang, 2021, Mathematical Methods of Operations Research.

Optimal Entry Decision of Unemployment Insurance Under Partial Information

Jingtang Ma, Jie Xing, Wensheng Yang, 2023, SSRN Electronic Journal.