Liming Feng

Liming Feng

University of Illinois Urbana Champaign - Champaign / United States
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 1408032
person_outline Liming Feng's MOST POPULAR ARTICLES
1-) Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: a fast Hilbert transform approachL Feng, V LinetskyMathematical Finance 18 (3), 337-384, 20082012008
2-) Pricing options in jump-diffusion models: an extrapolation approachL Feng, V LinetskyOperations Research 56 (2), 304-325, 20081882008
3-) Computing exponential moments of the discrete maximum of a Lévy process and lookback optionsL Feng, V LinetskyFinance and Stochastics 13 (4), 501-529, 2009712009
4-) Inverting analytic characteristic functions and financial applicationsL Feng, X LinSIAM Journal on Financial Mathematics 4 (1), 372-398, 2013582013
5-) Simulating Lévy processes from their characteristic functions and financial applicationsZ Chen, L Feng, X LinACM Transactions on Modeling and Computer Simulation (TOMACS) 22 (3), 14, 2012472012