Gongqiu Zhang

Publication Activity (10 Years)

Years Active: 2016-2024
Publications (10 Years): 7

Top Topics

Black Scholes Model

Transition Probabilities

Monte Carlo Method

Top Venues

Eur. J. Oper. Res.

J. Comput. Appl. Math.

SIAM J. Financial Math.

Publications

Weinan Zhang, Pingping Zeng, Gongqiu Zhang, Yue Kuen Kwok
Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps. J. Sci. Comput. 98 (2) (2024)
Christian Meier, Lingfei Li, Gongqiu Zhang
Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation. Eur. J. Oper. Res. 305 (3) (2023)
Gongqiu Zhang, Lingfei Li
Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients. SIAM J. Financial Math. 13 (3) (2022)
Xiang Zhang, Lingfei Li, Gongqiu Zhang
Pricing American drawdown options under Markov models. Eur. J. Oper. Res. 293 (3) (2021)
Gongqiu Zhang, Lingfei Li
Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior. Oper. Res. 67 (2) (2019)
Lingfei Li, Gongqiu Zhang
Option Pricing in Some Non-Lévy Jump Models. SIAM J. Sci. Comput. 38 (4) (2016)
Lingfei Li, Xianjun Qu, Gongqiu Zhang
An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance. J. Comput. Appl. Math. 294 (2016)