Liming Feng

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2011
Inverse transform method for simulating levy processes and discrete Asian options pricing
Chen, Z., Feng, L. & Lin, X., 2011, Proceedings of the 2011 Winter Simulation Conference, WSC 2011. p. 444-456 13 p. 6147772. (Proceedings - Winter Simulation Conference).
Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
2009

An algorithm for linear complementarity and its application in american options pricing
Feng, L., Linetsky, V., Morales, J. L. & Nocedal, J., Nov 26 2009, Numerical Analysis and Applied Mathematics - International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009. p. 1400-1402 3 p. (AIP Conference Proceedings; vol. 1168).
Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Research output