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Ning Cai, Ph.D. - Publications

Affiliations: 
2008 Columbia University, New York, NY 
Area:
Operations Research
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10 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year 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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