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Jia Wei Lim

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Person:1703025
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Contents

  • 1 Available identifiers
  • 2 List of research outcomes
  • 3 Research outcomes over time
  • 4 Doctoral students
  • 5 Known relations from the MaRDI Knowledge Graph

Available identifiers

zbMath Open lim.jia-weiMaRDI QIDQ1703025

List of research outcomes

PublicationDate of PublicationType
An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options2024-05-06Paper
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds2021-03-23Paper
A variation of the Azéma martingale and drawdown options2019-12-05Paper
Exact simulation of generalised Vervaat perpetuities2019-07-15Paper
Recursive formula for the double-barrier Parisian stopping time2018-09-26Paper
An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion2018-03-01Paper
Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time2014-01-23Paper

Research outcomes over time


Doctoral students

No records found.


Known relations from the MaRDI Knowledge Graph

PropertyValue
MaRDI profile typeMaRDI person profile
instance ofhuman


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This page was last edited on 24 September 2023, at 18:02.
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