Ning Cai, Ph.D. - Publications
Affiliations: | 2008 | Columbia University, New York, NY |
Area:
Operations ResearchYear | Citation | Score | |||
---|---|---|---|---|---|
2019 | Cai N, Kou S. Econometrics with Privacy Preservation Operations Research. 67: 905-926. DOI: 10.1287/Opre.2018.1834 | 0.48 | |||
2018 | Song Y, Cai N, Kou S. Computable Error Bounds of Laplace Inversion for Pricing Asian Options Informs Journal On Computing. 30: 634-645. DOI: 10.1287/Ijoc.2017.0805 | 0.51 | |||
2017 | Cai N, Song Y, Chen N. Exact Simulation of the SABR Model Operations Research. 65: 931-951. DOI: 10.1287/Opre.2017.1617 | 0.322 | |||
2014 | Cai N, Li C, Shi C. Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models Mathematics of Operations Research. 39: 789-822. DOI: 10.1287/Moor.2013.0619 | 0.369 | |||
2014 | Cai N, Kou SG, Liu Z. A two-sided Laplace inversion algorithm with computable error bounds and its applications in financial engineering Advances in Applied Probability. 46: 766-789. DOI: 10.1239/Aap/1409319559 | 0.35 | |||
2014 | Cai N, Sun L. Valuation of stock loans with jump risk Journal of Economic Dynamics and Control. 40: 213-241. DOI: 10.1016/J.Jedc.2014.01.004 | 0.342 | |||
2012 | Cai N, Kou S. Pricing Asian options under a hyper-exponential jump diffusion model Operations Research. 60: 64-77. DOI: 10.1287/Opre.1110.1006 | 0.552 | |||
2011 | Cai N. Pricing and hedging of quantile options in a flexible jump diffusion model Journal of Applied Probability. 48: 637-656. DOI: 10.1239/Jap/1316796904 | 0.384 | |||
2010 | Cai N, Chen N, Wan X. Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options Mathematics of Operations Research. 35: 412-437. DOI: 10.1287/Moor.1100.0447 | 0.399 | |||
2009 | Cai N, Chen N, Wan X. Pricing double-barrier options under a flexible jump diffusion model Operations Research Letters. 37: 163-167. DOI: 10.1016/J.Orl.2009.02.006 | 0.374 | |||
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