Items where Author is "Lim, Jia Wei"

Number of items: 9.
  • Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Dassios, Angelos and Lim, Jia Wei and Qu, Yan picture_as_pdf
  • Exact simulation of a truncated Lévy subordinator. Dassios, Angelos and Lim, Jia Wei and Qu, Yan picture_as_pdf
  • Exact simulation of generalised Vervaat perpetuities. Dassios, Angelos and Lim, Jia Wei and Qu, Yan picture_as_pdf
  • Parisian option pricing: a recursive solution for the density of the Parisian stopping time. Dassios, Angelos and Lim, Jia Wei
  • Recursive formula for the double barrier Parisian stopping time. Dassios, Angelos and Lim, Jia Wei
  • An analytical solution for the two-sided Parisian stopping time, its asymptotics and the pricing of Parisian options. Dassios, Angelos and Lim, Jia Wei
  • An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion. Dassios, Angelos and Lim, Jia Wei
  • A two-phase dynamic contagion model for COVID-19. Chen, Zezhun and Dassios, Angelos and Kuan, Valerie and Lim, Jia Wei and Qu, Yan and Surya, Budhi and Zhao, Hongbiao picture_as_pdf
  • A variation of the Azéma martingale and drawdown options. Dassios, Angelos and Lim, Jia Wei