R. H. Liu

12 papers Journal 11Unranked 1
YearRankTypeTitle / Venue / Authors
2015 J jnl
A tree approach to options pricing under regime-switching jump diffusion models.
Int. J. Comput. Math.
R. H. Liu, D. Nguyen
2015 J jnl
Pricing American options under multi-state regime switching with an efficient
Int. J. Comput. Math.
Muhammad S. Yousuf, Abdul-Qayyum M. Khaliq, R. H. Liu
2013 J jnl
A lattice method for option pricing with two underlying assets in the regime-switching model.
J. Comput. Appl. Math.
R. H. Liu, J. L. Zhao
2011 J jnl
Upper and Lower Solutions for Regime-Switching Diffusions with Applications in Financial Mathematics.
SIAM J. Appl. Math.
Paul W. Eloe, R. H. Liu
2009 J jnl
Analytical approximation method of option pricing under geometric mean-reverting process.
Int. J. Comput. Math.
R. H. Liu
2009 J jnl
Double barrier option under regime-switching exponential mean-reverting process.
Int. J. Comput. Math.
Paul W. Eloe, R. H. Liu, J. Y. Sun
2008 J jnl
Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model.
SIAM J. Appl. Math.
Paul W. Eloe, R. H. Liu, M. Yatsuki, Gang George Yin, Qing Zhang
2005 J jnl
A Near-Optimal Selling Rule for a Two-Time-Scale Market Model.
Multiscale Model. Simul.
Qing Zhang, Gang George Yin, R. H. Liu
2005 J jnl
Optimality of an (s, S) Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach.
SIAM J. Control. Optim.
Alain Bensoussan, R. H. Liu, Suresh P. Sethi
2002 J jnl
Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time.
Autom.
R. H. Liu, Qing Zhang, Gang George Yin
2002 J jnl
Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach.
SIAM J. Optim.
Gang George Yin, R. H. Liu, Qing Zhang
2001 — conf
Singularly perturbed Markov decision processes in discrete time.
CDC
R. H. Liu, Qian Zhang, George Yin