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Lian, Guanghua
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1

Approximate pricing of American exchange options with jumps:

Lian, Guanghua ; Elliott, Robert J. ; Kalev, Petko.
Journal of Futures Markets.  42 (2022)  6 - p. 983-1001 , 2022
Link: https://doi.org/10.1002/..
 
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2

Risk measures for variable annuities: A hermite series expa..:

Cui, Zhenyu ; Kim, Jinhyoung ; Lian, Guanghua.
Journal of Management Science and Engineering.  4 (2019)  2 - p. 119-141 , 2019
Link: https://doi.org/10.1016/..
 
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3

Modeling the Variance of Return Intervals Toward Volatility..:

Sun, Yan ; Lian, Guanghua ; Lu, Zudi..
Journal of Time Series Analysis.  41 (2019)  4 - p. 492-519 , 2019
Link: https://doi.org/10.1111/..
 
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4

Semi-analytical valuation for discrete barrier options unde..:

Lian, Guanghua ; Zhu, Song-Ping ; Elliott, Robert J..
Journal of Banking & Finance.  75 (2017)  - p. 167-183 , 2017
Link: https://doi.org/10.1016/..
 
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5

Numerically pricing American options under the generalized ..:

Chen, Wenting ; Yan, Bowen ; Lian, Guanghua.
Physica A: Statistical Mechanics and its Applications.  451 (2016)  - p. 180-189 , 2016
Link: https://doi.org/10.1016/..
 
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6

Pricing variance swaps under stochastic volatility and stoc..:

Cao, Jiling ; Lian, Guanghua ; Roslan, Teh Raihana Nazirah
Applied Mathematics and Computation.  277 (2016)  - p. 72-81 , 2016
Link: https://doi.org/10.1016/..
 
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7

Analytically pricing volatility swaps under stochastic vola..:

Zhu, Song-Ping ; Lian, Guang-Hua
Journal of Computational and Applied Mathematics.  288 (2015)  - p. 332-340 , 2015
Link: https://doi.org/10.1016/..
 
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8

Pricing forward-start variance swaps with stochastic volati..:

Zhu, Song-Ping ; Lian, Guang-Hua
Applied Mathematics and Computation.  250 (2015)  - p. 920-933 , 2015
Link: https://doi.org/10.1016/..
 
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9

Perpetual Exchange Options under Jump-Diffusion Dynamics:

Cheang, Gerald H. L. ; Lian, Guanghua
Applied Mathematical Finance.  22 (2015)  5 - p. 450-462 , 2015
Link: https://doi.org/10.1080/..
 
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10

Volatility swaps and volatility options on discretely sampl..:

Lian, Guanghua ; Chiarella, Carl ; Kalev, Petko S.
Journal of Economic Dynamics and Control.  47 (2014)  - p. 239-262 , 2014
Link: https://doi.org/10.1016/..
 
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11

Volatility Swaps and Volatility Options on Discretely Sampl..:

Lian, Guanghua ; Chiarella, Carl ; Kalev, Petko S.
Journal of Economic Dynamics and Control, Forthcoming.  , 2014
Link: https://ssrn.com/abstrac..
 
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12

Pricing variance and volatility swaps in a stochastic volat..:

Elliott, Robert J. ; Lian, Guang-Hua
Quantitative Finance.  13 (2013)  5 - p. 687-698 , 2013
Link: https://doi.org/10.1080/..
 
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13

On the valuation of variance swaps with stochastic volatili..:

Zhu, Song-Ping ; Lian, Guang-Hua
Applied Mathematics and Computation.  219 (2012)  4 - p. 1654-1669 , 2012
Link: https://doi.org/10.1016/..
 
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14

Pricing VIX options with stochastic volatility and random j..:

Lian, Guang-Hua ; Zhu, Song-Ping
Decisions in Economics and Finance.  36 (2011)  1 - p. 71-88 , 2011
Link: https://doi.org/10.1007/..
 
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15

An analytical formula for VIX futures and its applications:

Zhu, Song‐Ping ; Lian, Guang‐Hua
Journal of Futures Markets.  32 (2011)  2 - p. 166-190 , 2011
Link: https://doi.org/10.1002/..
 
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