Fang Fang : Citation Profile


Are you Fang Fang?

3

H index

3

i10 index

204

Citations

RESEARCH PRODUCTION:

4

Papers

RESEARCH ACTIVITY:

   1 years (2007 - 2008). See details.
   Cites by year: 204
   Journals where Fang Fang has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 3 (1.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfa141
   Updated: 2022-09-24    RAS profile: 2020-06-07    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Fang Fang.

Is cited by:

Oosterlee, Cornelis (22)

Grzelak, Lech (7)

Germano, Guido (6)

Pascucci, Andrea (5)

Itkin, Andrey (4)

Ballotta, Laura (4)

Chiarella, Carl (4)

Corsi, Fulvio (3)

Hurn, Stan (3)

Leippold, Markus (3)

Kang, Boda (3)

Cites to:

Oosterlee, Cornelis (5)

Carr, Peter (5)

Singleton, Kenneth (4)

pan, jun (3)

Duffie, Darrell (3)

Lord, Roger (2)

Lewis, Alan (2)

Pelsser, Antoon (1)

Geske, Robert (1)

Kahl, Christian (1)

merton, robert (1)

Main data


Where Fang Fang has published?


Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany4

Recent works citing Fang Fang (2022 and 2021)


YearTitle of citing document
2021Solving high-dimensional optimal stopping problems using deep learning. (2019). Welti, Timo ; Jentzen, Arnulf ; Cheridito, Patrick ; Becker, Sebastian. In: Papers. RePEc:arx:papers:1908.01602.

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2021The value of power-related options under spectrally negative L\evy processes. (2019). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1910.07971.

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2021Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps. (2020). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.04675.

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2021SWIFT calibration of the Heston model. (2021). Ortiz-Gracia, Luis ; Romo, Eudald. In: Papers. RePEc:arx:papers:2103.01570.

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2021SINH-acceleration for B-spline projection with Option Pricing Applications. (2021). Levendorskiui, Sergei ; Boyarchenko, Svetlana ; Cui, Zhenyu ; Kirkby, Lars J. In: Papers. RePEc:arx:papers:2109.08738.

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2021Pricing Bermudan options using regression trees/random forests. (2021). Lelong, J'Erome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Papers. RePEc:arx:papers:2201.02587.

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2022Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196.

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2022A new self-exciting jump-diffusion process for option pricing. (2022). Oosterlee, Cornelis ; Cirillo, Pasquale ; Souto, Luis A. In: Papers. RePEc:arx:papers:2205.13321.

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2022L\evy models amenable to efficient calculations. (2022). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2207.02359.

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2021Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21.

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2021Intra?Horizon expected shortfall and risk structure in models with jumps. (2021). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:772-823.

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2021Finite-time dividend problems in a Lévy risk model under periodic observation. (2021). Zhang, Zhimin ; Xie, Jiayi. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:398:y:2021:i:c:s0096300321000291.

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2021Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model. (2021). Yu, Wenguang ; Zhang, Zhimin ; Wang, Yayun. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:399:y:2021:i:c:s0096300321000795.

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2022Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility. (2022). Mataramvura, Sure ; O'Hara, John G ; Huang, Chun-Sung. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:414:y:2022:i:c:s0096300321007530.

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2022Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump. (2022). Guo, Xunxiang ; Huang, Shoude. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:158:y:2022:i:c:s0960077922002132.

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2021Consistent pricing of VIX options with the Hawkes jump-diffusion model. (2021). Ma, Yong ; Li, Shenghong ; Jing, BO. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302114.

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2022Smiles & smirks: Volatility and leverage by jumps. (2022). Ballotta, Laura ; Rayee, Gregory . In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1145-1161.

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2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging. (2021). Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:408-428.

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2022Binomial tree method for option pricing: Discrete cosine transform approach. (2022). Suda, Shintaro ; Muroi, Yoshifumi. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:198:y:2022:i:c:p:312-331.

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2021Pricing Bermudan options using regression trees/random forests. (2021). Lelong, Jerome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Working Papers. RePEc:hal:wpaper:hal-03436046.

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2022Option Pricing by the Legendre Wavelets Method. (2022). Hosseini, Mohammad Mehdi ; Doostaki, Reza. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10100-1.

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2021The value of power-related options under spectrally negative Lévy processes. (2021). Aguilar, Jean-Philippe. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09174-0.

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2022A Fourier Transform Method for Solving Backward Stochastic Differential Equations. (2022). Zhang, Gongqiu ; Li, Lingfei ; Ge, Yingming. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:1:d:10.1007_s11009-021-09860-y.

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Works by Fang Fang:


YearTitleTypeCited
2007A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes In: MPRA Paper.
[Full Text][Citation analysis]
paper45
2008A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS In: MPRA Paper.
[Full Text][Citation analysis]
paper139
2008A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 139
paper
2008Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions In: MPRA Paper.
[Full Text][Citation analysis]
paper20

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