Jia Wei Lim

Available identifiers

zbMath Open lim.jia-weiMaRDI QIDQ1703025

List of research outcomes

Publication	Date of Publication	Type
An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options	2024-05-06	Paper
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds	2021-03-23	Paper
A variation of the Azéma martingale and drawdown options	2019-12-05	Paper
Exact simulation of generalised Vervaat perpetuities	2019-07-15	Paper
Recursive formula for the double-barrier Parisian stopping time	2018-09-26	Paper
An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion	2018-03-01	Paper
Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time	2014-01-23	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Jia Wei Lim