Guanghua Lian
Guanghua Lian
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A closed‐form exact solution for pricing variance swaps with stochastic volatility
SP Zhu, GH Lian
Mathematical Finance: An International Journal of Mathematics, Statisticsá…, 2011
An analytical formula for VIX futures and its applications
SP Zhu, GH Lian
Journal of Futures Markets 32 (2), 166-190, 2012
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
RJ Elliott, GH Lian
Quantitative Finance 13 (5), 687-698, 2013
Pricing VIX options with stochastic volatility and random jumps
GH Lian, SP Zhu
Decisions in Economics and Finance 36, 71-88, 2013
Pricing variance swaps under stochastic volatility and stochastic interest rate
J Cao, G Lian, TRN Roslan
Applied Mathematics and Computation 277, 72-81, 2016
On the valuation of variance swaps with stochastic volatility
SP Zhu, GH Lian
Applied Mathematics and Computation 219 (4), 1654-1669, 2012
Semi-analytical valuation for discrete barrier options under time-dependent LÚvy processes
G Lian, SP Zhu, RJ Elliott, Z Cui
Journal of Banking & Finance 75, 167-183, 2017
Numerically pricing American options under the generalized mixed fractional Brownian motion model
W Chen, B Yan, G Lian, Y Zhang
Physica A: Statistical Mechanics and its Applications 451, 180-189, 2016
Analytically pricing volatility swaps under stochastic volatility
SP Zhu, GH Lian
Journal of computational and applied mathematics 288, 332-340, 2015
Volatility swaps and volatility options on discretely sampled realized variance
G Lian, C Chiarella, PS Kalev
Journal of Economic Dynamics and Control 47, 239-262, 2014
Pricing forward-start variance swaps with stochastic volatility
SP Zhu, GH Lian
Applied Mathematics and Computation 250, 920-933, 2015
Integral representation of probability density of stochastic volatility models and timer options
Z Cui, JL Kirkby, G Lian, D Nguyen
International Journal of Theoretical and Applied Finance 20 (08), 1750055, 2017
Risk measures for variable annuities: A Hermite series expansion approach
Z Cui, J Kim, G Lian, Y Liu
Journal of management science and engineering 4 (2), 119-141, 2019
On the convexity correction approximation in pricing volatility swaps and VIX futures
SP Zhu, GH Lian
New Mathematics and Natural Computation 14 (03), 383-401, 2018
Approximate pricing of American exchange options with jumps
G Lian, RJ Elliott, P Kalev, Z Yang
Journal of Futures Markets 42 (6), 983-1001, 2022
Pricing volatility derivatives with stochastic volatility
G Lian
University of Wollongong, 2010
The evolution of price discovery in US equity and derivatives markets
DG Wallace, PS Kalev, G Lian
27th Australasian Finance and Banking Conference, 2014
Pricing variance swaps with stochastic volatility
SP Zhu, GH Lian
Algorithmic Trading in Volatile Markets
H Zhou, PS Kalev, G Lian
UNSW Business School, 2013
Consistent Pricing of S&P500 and VIX Options in Gatheral's Model
RJR Elliott, PS Kalev, G Lian
25th Australasian Finance and Banking Conference, 2012
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