Yin G.

G. Yin

Information about the author G. Yin will soon be added to the site.
Found 4 papers in total
Option pricing in a regime-switching model using the fast Fourier transform
Option pricing in a regime-switching model using the fast Fourier transform
2006
This paper is concerned with fast Fourier transform (FFT) approach to option...
Stochastic optimization algorithms for pricing American put options under regime-switching models
Stochastic optimization algorithms for pricing American put options under regime-switching models
2006
This work provides a Markov-modulated stochastic approximation based approach for...
Nearly-optimal asset allocation in hybrid stock investment models
Nearly-optimal asset allocation in hybrid stock investment models
2004
This work develops a class of stock-investment models that are hybrid in nature and...
Convergence of a global stochastic optimization algorithm with partial step size restarting
Convergence of a global stochastic optimization algorithm with partial step size restarting
2000
This work develops a class of stochastic global optimization algorithms that are...
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