英文论文 (SSRN)
| • | Pricing American Parisian options under general time-inhomogeneous Markov models (with Yuhao Liu, Gongqiu Zhang). Quantitative Finance, 2026. |
| • | Explicit pathwise expansion for multivariate diffusions with applications (with Nan Chen, Xiangwei Wan). Advances in Applied Probability, 1-34, 2025. |
| • | An option pricing model with double-exponential jumps in returns and GARCH diffusion in volatilities (with Chunhui Qiao, Xiangwei Wan). Operations Research Letters, Vol 59, 107253, 2025. |
| • | Contracting with synergies: Continuous-time double-sided moral hazard (with Jun Yang, Yu Chen). Journal of Economic Dynamics & Control, Vol.168, 104981, 2024. |
| • | Asymptotics for the survival probability of time-inhomogeneous diffusion processes (with Yiwei Wang). Operations Research Letters, Vol 51, 308-311, 2023. |
| • | Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (with Xiangwei Wan). Journal of Economic Dynamics & Control, Vol.125, 104083, 2021. |
| • | A new delta expansion for multivariate diffusions via the Ito-Taylor expansion (with Nan Chen and Xiangwei Wan). Journal of Econometrics, Vol.209(2), pp.256-288, 2019. |
| • | The principle of not feeling the boundary for the SABR model (with Nan Chen). Quantitative Finance, Vol.19(3), pp.427-436, 2019. |
| • | The survival probability of the SABR model: asymptotics and application (with Xiangwei Wan). Quantitative Finance, Vol.18(10), pp.1767-1779, 2018. |
| • | Pricing continuously monitored barrier options under the SABR model: A Closed-Form Approximation (with Yanchu Liu and Zhenyu Cui). Journal of Management Science and Engineering, Vol.2(2), pp.116-131, 2017. |
| • | Approximate arbitrage-free option pricing under the SABR model (with Nan Chen, Yanchu Liu, Xiangwei Wan). Journal of Economic Dynamics & Control, Vol.83, pp.198-214, 2017. |
中文论文
| • | 证券买卖速度受制约下的最优交易策略 (与林辉、吴广谋合著). 管理科学学报，2020, 23(1):65-76. |
