W
Wensheng Yang
Researcher at Southwestern University of Finance and Economics
Publications - 7
Citations - 12
Wensheng Yang is an academic researcher from Southwestern University of Finance and Economics. The author has contributed to research in topics: Markov chain & Continuous-time Markov chain. The author has an hindex of 1, co-authored 6 publications receiving 4 citations.
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Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
TL;DR: This paper for the first time establishes the exact second-order convergence rates of the CTMC methods when applied to the prices and Greeks of Asian options and proposes a new set of error analysis methods for these path-dependent derivatives, whose payoffs depend on the average of asset prices.
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CTMC integral equation method for American options under stochastic local volatility models
TL;DR: In this article, a continuous-time Markov chain (CTMC) approach is proposed to solve the problem of American option pricing under stochastic local volatility (SLV) models.
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Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: Option pricing and Greeks
TL;DR: In this paper, the second order convergence rate of the continuous-time Markov chain (CTMC) approximation method for pricing options under the general framework of stochastic local volatility (SLV) models is established.
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Convergence Analysis for Continuous-Time Markov Chain Approximation of Stochastic Local Volatility Models: Option Pricing and Greeks
TL;DR: In this paper, the second order convergence rates of the continuous-time Markov chain (CTMC) approximation method for pricing options and calculating its Greeks under the general framework of stochastic local volatility models, which include the Heston and SABR models as special cases.
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Convergence Rate Analysis for the Continuous-Time Markov Chain Approximation of Occupation Time Derivatives and Asian Option Greeks
TL;DR: In this paper, the second-order convergence rates of the continuous-time Markov chain (CTMC) approximation method for pricing continuously monitored occupation time derivatives (step options, conditional Asian options) and arithmetic Asian options and their Greeks were established.