Jia Wei Lim

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Active since

2013

Affiliations

London School of Economics and Political Science(Current)

Jia Wei Lim is an author at London School of Economics and Political Science specializing in stochastic processes, finance, and stopping time distributions.

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Publications per year

2013–2020

Publications

Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time

Angelos Dassios, Jia Wei Lim · SIAM Journal on Financial Mathematics · 2013 · 19 citations

Business, Finance, Mathematics +16

Exact Simulation of a Truncated Lévy Subordinator

Angelos Dassios, Jia Wei Lim, Yan Qu · ACM Transactions on Modeling and Computer Simulation · 2020 · 19 citations · Full text

Engineering, Business Economics, Probability Theory +16

AN ANALYTICAL SOLUTION FOR THE TWO‐SIDED PARISIAN STOPPING TIME, ITS ASYMPTOTICS, AND THE PRICING OF PARISIAN OPTIONS

Angelos Dassios, Jia Wei Lim · Mathematical Finance · 2015 · 14 citations · Full text

Business, Economics, Finance +13

Exact simulation of generalised Vervaat perpetuities

Angelos Dassios, Yan Qu, Jia Wei Lim · Journal of Applied Probability · 2019 · 11 citations · Full text

Engineering, Computer Science, Markov Decision Processes +13

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