Browsing by Author Lim, JW
Showing results 1 to 7 of 7
Issue Date | Title | Author(s) |
---|---|---|
16-Jun-2015 | An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options | Dassios, A; Lim, JW |
25-Jan-2017 | An Efficient Algorithm for Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion | Dassios, A; Lim, JW |
31-May-2020 | Exact Simulation of Truncated Levy Subordinator | Dassios, A; Lim, JW; Qu, Y |
15-Aug-2013 | Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time | Dassios, A; Lim, JW |
28-Mar-2018 | Recursive formula for the double-barrier Parisian stopping time | Dassios, A; Lim, JW |
13-May-2021 | A two-phase dynamic contagion model for COVID-19 | Chen, Z; Dassios, A; Kuan, V; Lim, JW; Qu, Y; Surya, B; Zhao, H |
28-Feb-2019 | A variation of the Azéma martingale and drawdown options | Dassios, A; Lim, JW |