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Liu, Yanchu [Author] ; Cui, Zhenyu [Other]; Zhang, Ning [Other]

Integral Representation of Vega for American Put Options

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https://ssrn.com/abstract=2827037

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[S.l.]: SSRN, [2016]
Chen, Nan [Author] ; Liu, Yanchu [Other]

American Option Sensitivities Estimation via a Generalized IPA Approach

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https://ssrn.com/abstract=1829834

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[S.l.]: SSRN, [2019]
Cao, Hongkai [Author] ; Cui, Zhenyu [Other]; Liu, Yanchu [Other]

Discrete-time Variance-optimal Deep Hedging in Affine GARCH Models

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[S.l.]: SSRN, [2020]
Shumin, Chen [Author] ; Liu, Yanchu [Other]; Weng, Chengguo [Other]

Dynamic Risk-Sharing Game and Reinsurance Contract Design

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[S.l.]: SSRN, [2019]
Yang, Nian [Author] ; Liu, Yanchu [Other]; Cui, Zhenyu [Other]

Pricing Continuously Monitored Barrier Options Under the Sabr Model : A Closed-Form Approximation

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[S.l.]: SSRN, [2019]
Du, Ye [Author] ; Xue, Shan [Other]; Liu, Yanchu [Other]

Robust Upper Bounds for American Put Options

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[S.l.]: SSRN, [2017]
Cui, Zhenyu [Author] ; Lee, Chihoon [Other]; Liu, Yanchu [Other]

Single-Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes

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[S.l.]: SSRN, [2017]
Cui, Zhenyu [Author]; Liu, Yanchu [Author]; Wang, Ruodu [Author]

Variance Comparison between Infinitesimal Perturbation Analysis and Likelihood Ratio Estimators to Stochastic Gradient

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[S.l.]: SSRN, [2021]
Chen, Nan [Author] ; Ma, Xiang [Other]; Liu, Yanchu [Other]; Yu, Wei [Other]

Information Relaxation and A Duality-Driven Algorithm for Stochastic Dynamic Programs

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[S.l.]: SSRN, [2020]
Cui, Zhenyu [Author] ; Lee, Chihoon [Other]; Liu, Yanchu [Other]; Zhu, Lingjiong [Other]

Transform Analysis for Markov Processes and Applications : An Operator-based Approach

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[S.l.]: SSRN, [2019]

Published in: Stevens Institute of Technology School of Business Research Paper
Yang, Nian [Author] ; Chen, Nan [Other]; Liu, Yanchu [Other]; Wan, Xiangwei [Other]

Approximate Arbitrage-Free Option Pricing Under the SABR Model

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[S.l.]: SSRN, [2017]
Cui, Zhenyu [Author] ; Lee, Chihoon [Other]; Liu, Yanchu [Other]; Wang, Kai [Other]

Failure and Rescue in Central Clearing Counterparty Design

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[S.l.]: SSRN, [2017]

Published in: Stevens Institute of Technology School of Business Research Paper
Cui, Zhenyu [Author] ; Kim, J.H [Other]; Lian, Guanghua [Other]; Liu, Yanchu [Other]

Risk Measures for Variable Annuities : A Hermite Series Expansion Approach

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[S.l.]: SSRN, [2017]
Cao, Hongkai [Author]; Cui, Zhenyu [Author]; Liu, Yanchu [Author]; Yu, Ying [Author]

Discrete-Time Variance-Optimal Deep Hedging in Affine GARCH Models

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[S.l.]: SSRN, 2022
Chen, Cathy Yi-Hsuan [Author]; Fengler, Matthias [Author]; Härdle, Wolfgang [Author]; Liu, Yanchu [Author]

Textual sentiment, option characteristics, and stock return predictability

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http://ux-tauri.unisg.ch/RePEc/usg/econwp/EWP-1808.pdf

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St. Gallen: School of Economics and Political Science, Department of Economics, University of St.Gallen, 2018

Published in: Universität St. Gallen: Discussion paper ; 2018,8
Chen, Cathy Yi‐Hsuan [Author] ; Fengler, Matthias R. [Other]; Härdle, Wolfgang K. [Other]; Liu, Yanchu [Other]

Media-Expressed Tone, Option Characteristics, and Stock Return Predictability

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[S.l.]: SSRN, [2020]
Chen, Cathy [Author] ; Fengler, Matthias R. [Other]; Härdle, Wolfgang K. [Other]; Liu, Yanchu [Other]

Textual Sentiment, Option Characteristics, and Stock Return Predictability

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[S.l.]: SSRN, [2018]
Chen, Cathy Yi-Hsuan [Author]; Fengler, Matthias R. [Author]; Härdle, Wolfgang Karl [Author]; Liu, Yanchu [Author]

Media-expressed tone, Option Characteristics, and Stock Return Predictability

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http://hdl.handle.net/10419/230791

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Berlin: Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", 2019
Chen, Cathy Yi-Hsuan [Author]; Fengler, Matthias R. [Author]; Härdle, Wolfgang Karl [Author]; Liu, Yanchu [Author]

Textual Sentiment, Option Characteristics, and Stock Return Predictability

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http://hdl.handle.net/10419/230734

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Berlin: Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", 2018
Chen, Nan; Liu, Yanchu

American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach

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Institute for Operations Research and the Management Sciences (INFORMS), 2014

Published in: Operations Research

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