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Number of items: **8**.

Dassios, Angelos, Lim, Jia Wei and Qu, Yan
(2019)
*Exact simulation of truncated Levy subordinator.*
ACM Transactions on Modeling and Computer Simulation.
ISSN 1049-3301
(In Press)

Dassios, Angelos and Lim, Jia Wei
(2019)
*A variation of the Azéma martingale and drawdown options.*
Mathematical Finance, 29 (4).
pp. 1116-1130.
ISSN 0960-1627

Dassios, Angelos, Lim, Jia Wei and Qu, Yan
(2019)
*Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds.*
Mathematical Finance.
ISSN 0960-1627
(In Press)

Dassios, Angelos, Lim, Jia Wei and Qu, Yan
(2019)
*Exact simulation of generalised Vervaat perpetuities.*
Journal of Applied Probability, 56 (1).
pp. 57-75.
ISSN 0021-9002

Dassios, Angelos and Lim, Jia Wei
(2018)
*Recursive formula for the double barrier Parisian stopping time.*
Journal of Applied Probability, 55 (1).
pp. 282-301.
ISSN 0021-9002

Dassios, Angelos and Lim, Jia Wei
(2017)
*An analytical solution for the two-sided Parisian stopping time, its asymptotics and the pricing of Parisian options.*
Mathematical Finance, 27 (2).
pp. 604-620.
ISSN 0960-1627

Dassios, Angelos and Lim, Jia Wei
(2017)
*An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion.*
Methodology and Computing in Applied Probability, 20 (1).
pp. 189-204.
ISSN 1387-5841

Dassios, Angelos and Lim, Jia Wei
(2013)
*Parisian option pricing: a recursive solution for the density of the Parisian stopping time.*
SIAM Journal on Financial Mathematics, 4 (1).
pp. 599-615.
ISSN 1945-497X