Lim, Jia Wei

Number of items: 8.
Public
  • Dassios, Angelos, Lim, Jia Wei, Qu, Yan (2020). Exact simulation of a truncated Lévy subordinator. ACM Transactions on Modeling and Computer Simulation, 30(3). https://doi.org/10.1145/3368088 picture_as_pdf
  • Dassios, Angelos, Lim, Jia Wei (2019). A variation of the Azéma martingale and drawdown options. Mathematical Finance, 29(4), 1116-1130. https://doi.org/10.1111/mafi.12202
  • Dassios, Angelos, Lim, Jia Wei, Qu, Yan (2019). Exact simulation of generalised Vervaat perpetuities. Journal of Applied Probability, 56(1), 57-75. https://doi.org/10.1017/jpr.2019.6 picture_as_pdf
  • Dassios, Angelos, Lim, Jia Wei (2018). Recursive formula for the double barrier Parisian stopping time. Journal of Applied Probability, 55(1), 282-301. https://doi.org/10.1017/jpr.2018.17
  • Dassios, Angelos, 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), 604-620. https://doi.org/10.1111/mafi.12091
  • Dassios, Angelos, 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), 189-204. https://doi.org/10.1007/s11009-017-9542-y
  • Lim, Jia Wei (2013). Parisian excursions of Brownian motion and their applications in mathematical finance [Doctoral thesis]. London School of Economics and Political Science.
  • Dassios, Angelos, 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), 599-615. https://doi.org/10.1137/120875466