Baojun Bian

Publication Activity (10 Years)

Years Active: 2005-2019
Publications (10 Years): 2

Top Topics

Utility Maximization

Diffusion Models

Long Range Dependence

Differential Equations

Top Venues

J. Optim. Theory Appl.

Appl. Math. Comput.

SIAM J. Financial Math.

Publications

Baojun Bian, Xinfu Chen, Zuo Quan Xu
Utility Maximization Under Trading Constraints with Discontinuous Utility. SIAM J. Financial Math. 10 (1) (2019)
Yang Wang, Baojun Bian, Zijiang Yang, Jizhou Zhang
The Valuation of American Passport Options: A Viscosity Solution Approach. J. Optim. Theory Appl. 180 (2) (2019)
Baojun Bian, Guolian Wang
Well-posedness of stochastic KdV-BO equation driven by fractional Brownian motion. Appl. Math. Comput. 243 (2014)
Yang Wang, Baojun Bian, Jizhou Zhang
Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model. J. Optim. Theory Appl. 161 (1) (2014)
Baojun Bian, Sheng Miao, Harry Zheng
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems. SIAM J. Financial Math. 2 (1) (2011)
Baojun Bian, Min Dai, Lishang Jiang, Qing Zhang, Yifei Zhong
Optimal Decision for Selling an Illiquid Stock. J. Optim. Theory Appl. 151 (2) (2011)
Jin Liang, Bei Hu, Lishang Jiang, Baojun Bian
On the rate of convergence of the binomial tree scheme for American options. Numerische Mathematik 107 (2) (2007)
Xiao-song Qian, Cheng-long Xu, Lishang Jiang, Baojun Bian
Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model. SIAM J. Numer. Anal. 42 (5) (2005)