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R. H. Liu
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2010 – 2019
- 2015
- [j11]Muhammad S. Yousuf
, Abdul-Qayyum M. Khaliq, R. H. Liu:
Pricing American options under multi-state regime switching with an efficient L- stable method. Int. J. Comput. Math. 92(12): 2530-2550 (2015) - [j10]R. H. Liu, D. Nguyen:
A tree approach to options pricing under regime-switching jump diffusion models. Int. J. Comput. Math. 92(12): 2575-2595 (2015) - 2013
- [j9]R. H. Liu, J. L. Zhao:
A lattice method for option pricing with two underlying assets in the regime-switching model. J. Comput. Appl. Math. 250: 96-106 (2013) - 2011
- [j8]Paul W. Eloe
Upper and Lower Solutions for Regime-Switching Diffusions with Applications in Financial Mathematics. SIAM J. Appl. Math. 71(4): 1354-1373 (2011)
2000 – 2009
- 2009
- [j7]Paul W. Eloe
Double barrier option under regime-switching exponential mean-reverting process. Int. J. Comput. Math. 86(6): 964-981 (2009) - [j6]R. H. Liu:
Analytical approximation method of option pricing under geometric mean-reverting process. Int. J. Comput. Math. 86(6): 1082-1092 (2009) - 2008
- [j5]Paul W. Eloe
Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model. SIAM J. Appl. Math. 69(3): 810-829 (2008) - 2005
- [j4]Qing Zhang, Gang George Yin, R. H. Liu:
A Near-Optimal Selling Rule for a Two-Time-Scale Market Model. Multiscale Model. Simul. 4(1): 172-193 (2005) - [j3]Alain Bensoussan, R. H. Liu, Suresh P. Sethi:
Optimality of an (s, S) Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach. SIAM J. Control. Optim. 44(5): 1650-1676 (2005) - 2002
- [j2]R. H. Liu, Qing Zhang, Gang George Yin:
Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time. Autom. 38(3): 409-419 (2002) - [j1]Gang George Yin, R. H. Liu, Qing Zhang:
Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach. SIAM J. Optim. 13(1): 240-263 (2002) - 2001
- [c1]R. H. Liu, Qian Zhang, George Yin:
Singularly perturbed Markov decision processes in discrete time. CDC 2001: 2119-2124
Coauthor Index
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