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Zhenyu Cui · Study
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Author
Zhenyu Cui
18 works
· latest 2020
· 3 institutions
cluster: provisional
ORCID 0000-0001-9429-7121
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Citations
772
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Most cited in this library
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
2017 · 102 citations
A General Valuation Framework for SABR and Stochastic Local Volatility Models
2018 · 87 citations
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
2017 · 79 citations
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
2017 · 78 citations
A General Framework for Time-Changed Markov Processes and Applications
2018 · 53 citations
Works
18 shown
A data-driven framework for consistent financial valuation and risk measurement
European Journal of Operational Research
·
2020
·
3 authors
28
citations
Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations
European Journal of Operational Research
·
2020
·
3 authors
·
Open access
41
citations
Valuation of VIX and Target Volatility Options with Affine GARCH Models
Journal of Futures Markets
·
2020
·
4 authors
·
Open access
24
citations
Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing
The IMA volumes in mathematics and its applications
·
2019
·
3 authors
·
chapter
·
Open access
28
citations
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Annals of Operations Research
·
2018
·
3 authors
·
Open access
40
citations
A General Valuation Framework for SABR and Stochastic Local Volatility Models
SIAM Journal on Financial Mathematics
·
2018
·
3 authors
·
Open access
87
citations
A General Framework for Time-Changed Markov Processes and Applications
European Journal of Operational Research
·
2018
·
3 authors
·
Open access
53
citations
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
European Journal of Operational Research
·
2017
·
3 authors
·
Open access
51
citations
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Journal of Economic Dynamics and Control
·
2017
·
3 authors
·
Open access
78
citations
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
European Journal of Operational Research
·
2017
·
3 authors
·
Open access
102
citations
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Insurance Mathematics and Economics
·
2017
·
3 authors
·
Open access
79
citations
Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits*
Journal of Financial Econometrics
·
2017
·
3 authors
·
Open access
34
citations
Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
Journal of Banking & Finance
·
2016
·
4 authors
·
Open access
24
citations
Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model
North American Actuarial Journal
·
2016
·
3 authors
·
Open access
42
citations
ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS
Mathematical Finance
·
2014
·
3 authors
27
citations
Comment on “Modeling non-monotone risk aversion using SAHARA utility functions” [J. Econ. Theory 146 (2011) 2075–2092]
Journal of Economic Theory
·
2014
·
1 author
·
Open access
3
citations
Comment on 'Modeling Non-Monotone Risk Aversion Using Sahara Utility Functions'
SSRN Electronic Journal
·
2014
·
1 author
·
preprint
·
Open access
0
citations
Pricing timer options
The Journal of Computational Finance
·
2011
·
2 authors
·
Open access
31
citations