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Wendong Zheng, Ph.D. - Publications

Affiliations: 
2012 HKUST Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong 
Area:
Mathematics, Applied Mathematics
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7 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
2016 Zheng W, Zeng P. Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. Applied Mathematical Finance. 23: 344-373. PMID 28706460 DOI: 10.1080/1350486X.2017.1285242  0.349
2016 Zheng W, Yuen CH, Kwok YK. Recursive Algorithms For Pricing Discrete Variance Options And Volatility Swaps Under Time-Changed Lévy Processes International Journal of Theoretical and Applied Finance. 19: 1-29. DOI: 10.2139/Ssrn.2465742  0.353
2015 Zeng P, Kwok YK, Zheng W. Fast Hilbert Transform Algorithms for Pricing Discrete Timer Options Under Stochastic Volatility Models International Journal of Theoretical and Applied Finance. 18: 1550046. DOI: 10.2139/Ssrn.2465747  0.356
2015 Zheng W, Kwok YK. Pricing options on discrete realized variance with partially exact and bounded approximations Quantitative Finance. 15: 2011-2019. DOI: 10.1080/14697688.2015.1008229  0.33
2014 Zheng W, Kwok YK. Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance Applied Mathematical Finance. 21: 1-31. DOI: 10.2139/Ssrn.2194937  0.345
2014 Zheng W, Kwok YK. Fourier Transform Algorithms for Pricing and Hedging Discretely Sampled Exotic Variance Products and Volatility Derivatives under Additive Processes Journal of Computational Finance. 18: 3-30. DOI: 10.2139/Ssrn.2194936  0.334
2011 Zheng W, Kwok YK. Closed Form Pricing Formulas for Discretely Sampled Generalized Variance Swaps Mathematical Finance. 24: 855-881. DOI: 10.2139/Ssrn.1760749  0.328
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