Cai Ning

Ning Cai

Information about the author Ning Cai will soon be added to the site.
Found 6 papers in total
Exact Simulation of the SABR Model
Exact Simulation of the SABR Model
2017
The stochastic alpha‐beta‐rho (SABR) model becomes popular in the...
A General Framework for Pricing Asian Options Under Markov Processes
A General Framework for Pricing Asian Options Under Markov Processes
2015
A general framework is proposed for pricing both continuously and discretely monitored...
Option Pricing Under a Mixed‐Exponential Jump Diffusion Model
Option Pricing Under a Mixed‐Exponential Jump Diffusion Model
2011
This paper aims to extend the analytical tractability of the Black–Scholes model...
Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
2010
In this paper, we provide Laplace transform-based analytical solutions to pricing...
On first passage times of a hyper-exponential jump diffusion process
On first passage times of a hyper-exponential jump diffusion process
2009
We investigate some important probabilistic properties relating to the first passage...
Pricing double-barrier options under a flexible jump diffusion model
Pricing double-barrier options under a flexible jump diffusion model
2009
In this paper we present a Laplace transform-based analytical solution for pricing...
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