Zhen-Yu Cui

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Explicit solution to the economic index of riskiness	2024-01-19	Paper
A unified fused Lasso approach for sparse and blocky feature selection in regression and classification	2023-11-18	Paper
Optimal investment problem under behavioral setting: a Lagrange duality perspective	2023-11-15	Paper
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	2023-09-25	Paper
Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times	2023-06-16	Paper
LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS	2022-11-22	Paper
A new representation of the risk-neutral distribution and its applications	2022-05-27	Paper
Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient	2022-03-11	Paper
SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS	2022-03-11	Paper
Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks	2021-12-14	Paper
On the optimal design of the randomized unbiased Monte Carlo estimators	2021-12-13	Paper
CTMC integral equation method for American options under stochastic local volatility models	2021-11-16	Paper
Non-convex isotonic regression via the Myersonian approach	2021-11-12	Paper
Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates	2021-07-14	Paper
A Markov chain approximation scheme for option pricing under skew diffusions	2021-06-02	Paper
Optimal unbiased estimation for expected cumulative discounted cost	2020-05-27	Paper
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits	2020-01-20	Paper
Variance swaps valuation under non-affine GARCH models and their diffusion limits	2019-09-26	Paper
Revisiting advance disclosure of insider trading	2019-08-05	Paper
Systemic risk and optimal fee for central clearing counterparty under partial netting	2019-06-11	Paper
Impact of Flexible Periodic Premiums on Variable Annuity Guarantees	2019-05-28	Paper
Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model	2019-05-28	Paper
Prices and Asymptotics for Discrete Variance Swaps	2018-09-11	Paper
Valuation of American strangles through an optimized lower-upper bound approach	2018-08-10	Paper
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes	2018-05-30	Paper
Hybrid Laplace transform and finite difference methods for pricing American options under complex models	2018-03-09	Paper
ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS	2017-03-13	Paper
Stochastic areas of diffusions and applications	2016-01-28	Paper
Comment on ``Modeling non-monotone risk aversion using SAHARA utility functions	2014-09-08	Paper
A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions	2014-06-11	Paper
Omega risk model with tax	2014-03-29	Paper
Stochastic areas of diffusions and applications in risk theory	2013-12-01	Paper
Correction note for ``The large-maturity smile for the Heston model	2013-02-07	Paper
NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS	2013-01-16	Paper
Comment on ``Option pricing under the Merton model of the short rate by Kung and Lee	2010-11-30	Paper

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