Zhenyu Cui

发表

LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS

Jingtang Ma, Wenyuan Li, Zhenyu Cui, 2020 .

A Data-Driven Framework for Consistent Financial Valuation and Risk Measurement

J. Lars Kirkby, Zhenyu Cui, Duy Nguyen, 2020, Eur. J. Oper. Res..

Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing

Duy Nguyen, J. Lars Kirkby, Zhenyu Cui, 2019 .

A Markov chain approximation scheme for option pricing under skew diffusions

Yongjin Wang, Zhenyu Cui, Kailin Ding, 2020 .

Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation

Stephen Taylor, Zhenyu Cui, Stephen Michael Taylor, 2020, The Journal of Derivatives.

Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations

J. Lars Kirkby, Zhenyu Cui, Duy Nguyen, 2020, Eur. J. Oper. Res..

A General Framework for Discretely Sampled Realized Variance Derivatives in Stochastic Volatility Models with Jumps

Duy Nguyen, J. Lars Kirkby, Zhenyu Cui, 2017, Eur. J. Oper. Res..

On the Variance of Single-Run Unbiased Stochastic Derivative Estimators

Michael C. Fu, Yijie Peng, Jian-Qiang Hu, 2020, INFORMS J. Comput..

Arbitrage detection using max plus product iteration on foreign exchange rate graphs

Stephen Taylor, Zhenyu Cui, 2020 .

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.

Variance Comparison between Infinitesimal Perturbation Analysis and Likelihood Ratio Estimators to Stochastic Gradient

Ruodu Wang, Yanchu Liu, Zhenyu Cui, 2021, SSRN Electronic Journal.

Exact Optimal Pricing under the Multinomial Logit Choice Model with Network Effects

Lingjiong Zhu, Zhenyu Cui, 2016 .

Stochastic areas of diffusions and applications

Jingtang Ma, Zhenyu Cui, Zhenyu Cui, 2016 .

A Unified Approach to Bermudan and Barrier Options Under Stochastic Volatility Models with Jumps

Zhenyu Cui, Duy Nguyen, Justin Kirkby, 2017 .

Nearly Exact Option Price Simulation Using Characteristic Functions

Carole Bernard, Don McLeish, Zhenyu Cui, 2012 .

An efficient and stable method for short maturity Asian options

Zhenyu Cui, Jiacheng Fan, Rupak Chatterjee, 2018, Journal of Futures Markets.

Martingale Property and Pricing for Time-homogeneous Diffusion Models in Finance

Zhenyu Cui, Zhenyu Cui, 2013 .

Equity-Linked Annuity Pricing with Cliquet-Style Guarantees in Regime-Switching and Stochastic Volatility Models with Jumps

Zhenyu Cui, Duy Nguyen, Justin Kirkby, 2017 .

On the Martingale Property in Stochastic Volatility Models Based on Time‐Homogeneous Diffusions

Carole Bernard, Don McLeish, Zhenyu Cui, 2017 .

Prices and Asymptotics for Discrete Variance Swaps

Carole Bernard, Zhenyu Cui, Zhenyu Cui, 2013, 1305.7092.

A Unified Valuation Framework for Variance Swaps under Non-Affine Stochastic Volatility Models

Zhenyu Cui, Matthew Couch, Zhenyu Cui, 2017 .

Variance swaps valuation under non-affine GARCH models and their diffusion limits

Alexandru Badescu, Zhenyu Cui, Matthew Couch, 2018, Quantitative Finance.

Prices and Asymptotics for Discrete Variance Swaps

Carole Bernard, Zhenyu Cui, Zhenyu Cui, 2013 .

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

Carole Bernard, Don McLeish, Zhenyu Cui, 2013 .

ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS

Carole Bernard, Don McLeish, Zhenyu Cui, 2013, 1310.0092.