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Guanghua Lian · Study

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Guanghua Lian

9 works· latest 2016· 4 institutionscluster: provisionalORCID 0000-0002-2800-2310

h-index9

i109

Citations531

Works here9

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Most cited in this library

A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY2008 · 131 citations
An analytical formula for VIX futures and its applications2011 · 107 citations
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case2012 · 102 citations
Pricing VIX options with stochastic volatility and random jumps2011 · 64 citations
On the Valuation of Variance Swaps with Stochastic Volatility2008 · 34 citations

Works

9 shown

Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes

Journal of Banking & Finance·2016·4 authors·Open access

24citations

Numerically pricing American options under the generalized mixed fractional Brownian motion model

Physica A Statistical Mechanics and its Applications·2016·3 authors

22citations

Analytically pricing volatility swaps under stochastic volatility

Journal of Computational and Applied Mathematics·2015·2 authors·Open access

22citations

Pricing Variance Swaps Under Stochastic Volatility and Stochastic Interest Rate

Applied Mathematics and Computation·2014·3 authors·Open access

25citations

Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case

Quantitative Finance·2012·2 authors

102citations

Pricing VIX options with stochastic volatility and random jumps

Decisions in Economics and Finance·2011·2 authors·Open access

64citations

An analytical formula for VIX futures and its applications

Journal of Futures Markets·2011·2 authors·Open access

107citations

A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY

Mathematical Finance·2008·2 authors·Open access

131citations

On the Valuation of Variance Swaps with Stochastic Volatility

Applied Mathematics and Computation·2008·2 authors·Open access

34citations