Liming Feng
Title
Cited by
Cited by
Year
Pricing discretely monitored barrier options and defaultable bonds in LÚvy process models: a fast Hilbert transform approach
L Feng, V Linetsky
Mathematical Finance 18 (3), 337-384, 2008
1922008
Pricing options in jump-diffusion models: an extrapolation approach
L Feng, V Linetsky
Operations Research 56 (2), 304-325, 2008
1742008
Computing exponential moments of the discrete maximum of a LÚvy process and lookback options
L Feng, V Linetsky
Finance and Stochastics 13 (4), 501-529, 2009
622009
Inverting analytic characteristic functions and financial applications
L Feng, X Lin
SIAM Journal on Financial Mathematics 4 (1), 372-398, 2013
462013
Simulating LÚvy processes from their characteristic functions and financial applications
Z Chen, L Feng, X Lin
ACM Transactions on Modeling and Computer Simulation (TOMACS) 22 (3), 14, 2012
362012
Pricing Bermudan options in LÚvy process models
L Feng, X Lin
SIAM Journal on Financial Mathematics 4 (1), 474-493, 2013
342013
On the solution of complementarity problems arising in American options pricing
L Feng, V Linetsky, J Luis Morales, J Nocedal
Optimization Methods and Software 26 (4-5), 813-825, 2011
342011
Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact
J Chen, L Feng, J Peng, Y Ye
Operations Research, 2012
202012
Subspace Accelerated Matrix Splitting Algorithms for Asymmetric and Symmetric Linear Complementarity Problems
DP Robinson, L Feng, JM Nocedal, JS Pang
SIAM Journal on Optimization 23 (3), 1371-1397, 2013
132013
Inverse transform method for simulating LÚvy processes and discrete Asian options pricing
Z Chen, L Feng, X Lin
Proceedings of the 2011 Winter Simulation Conference, 444-456, 2011
112011
Variational methods in derivatives pricing
L Feng, P Kovalov, V Linetsky, M Marcozzi
Handbooks in Operations Research and Management Science 15, 301-342, 2008
112008
On the valuation of options in jump-diffusion models by variational methods
L Feng, V Linetsky, M Marcozzi
Technical Report, 2004
72004
Quadratic Finite Element and Preconditioning for Options Pricing in the SVCJ Model
YY Zhang, HK Pang, L Feng, XQ Jin
Journal of Computational Finance, Forthcoming, 2014
52014
On the monitoring error of the supremum of a normal jump diffusion process
A Chen, L Feng, R Song
Journal of Applied Probability 48 (4), 1021-1034, 2011
42011
Pricing Bermudan options in LÚvy models
L Feng, X Lin
Proceedings of the 2011 NSF Engineering Research and Innovation Conference, 2011
2011
An Algorithm for Linear Complementarity and its Application in American Options Pricing
L Feng, V Linetsky, JL Morales, J Nocedal
AIP Conference Proceedings 1168 (2), 1400-1402, 2009
2009
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Articles 1–16