Concepedia

Zhenyu Cui

ZC

33

Publications

1K

Citations

17

H-Index

2010

Active since

Affiliations

Stevens Institute of Technology(Current)

Georgia Institute of Technology

University of Calgary

Grenoble Ecole de Management

Zhenyu Cui is an author at Stevens Institute of Technology specializing in business, asset pricing, and option pricing.

Top concepts

BusinessAsset PricingOption PricingEngineeringFinanceProbabilityStochastic CalculusVolatility ModelingMultivariate Stochastic VolatilityStatistics

Publications per year

2010–2023

33

Publications

33

A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

Zhenyu Cui, Justin Kirkby, Duy Nguyen · European Journal of Operational Research · 2017 · 110 citations

Volatility Modeling, Multivariate Stochastic Volatility, Option Pricing +12

A General Valuation Framework for SABR and Stochastic Local Volatility Models

Zhenyu Cui, Justin Kirkby, Duy Nguyen · SIAM Journal on Financial Mathematics · 2018 · 95 citations

Volatility Modeling, Engineering, Stochastic Local Volatility +18

Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

Zhenyu Cui, Justin Kirkby, Duy Nguyen · Insurance Mathematics and Economics · 2017 · 89 citations

Volatility Modeling, Option Pricing, Financial Economics +11

A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

Justin Kirkby, Duy Nguyen, Zhenyu Cui · Journal of Economic Dynamics and Control · 2017 · 85 citations

Volatility Modeling, Option Pricing, Engineering +12

Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes

Zhenyu Cui, Chihoon Lee, Yanchu Liu · European Journal of Operational Research · 2017 · 59 citations · Full text

Option Pricing, Asset Pricing, Natural Sciences +9

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