| Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach P Zeng, YK Kwok SIAM Journal on Scientific Computing 36 (3), B450-B485, 2014 | 42 | 2014 |
| Optimal initiation of guaranteed lifelong withdrawal benefit with dynamic withdrawals YT Huang, P Zeng, YK Kwok SIAM Journal on Financial Mathematics 8 (1), 804-840, 2017 | 32 | 2017 |
| Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes P Zeng, YK Kwok Quantitative Finance 16 (9), 1375-1391, 2016 | 24 | 2016 |
| Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model W Zheng, P Zeng Applied mathematical finance 23 (5), 344-373, 2016 | 16 | 2016 |
| Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models P Zeng, YK Kwok, W Zheng International Journal of Theoretical and Applied Finance 18 (07), 1550046, 2015 | 11 | 2015 |
| Speed and duration of drawdown under general Markov models L Li, P Zeng, G Zhang Quantitative Finance 24 (3-4), 367-386, 2024 | 9 | 2024 |
| Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps P Zeng, Z Xu, P Jiang, YK Kwok Mathematical Finance 33 (3), 842-890, 2023 | 6 | 2023 |
| Convergence estimate of the RBF-based meshless method for initial-boundary value problem of wave equations Y Duan, YM Zheng, PP Ceng Engineering analysis with boundary elements 36 (3), 303-309, 2012 | 5 | 2012 |
| Pricing contingent convertible bond with idiosyncratic risk X Wang, Z Yang, P Zeng Wang, X., Yang, Z. & Zeng, P.(2023) Pricing contingent convertibles with …, 2023 | 3 | 2023 |
| Credibility theory for variance premium principle Y Yong, P Zeng, Y Zhang North American Actuarial Journal, 1-33, 2024 | 2 | 2024 |
| A transform-based method for pricing Asian options under general two-dimensional models W Zhang, P Zeng Quantitative Finance 23 (11), 1677-1697, 2023 | 2 | 2023 |
| Analytical Solvability and Exact Simulation of Stochastic Volatility Models with Jumps P Zeng, Z Xu, P Jiang, YK Kwok Available at SSRN 3904498, 2021 | 2 | 2021 |
| Closed-form partial transform of triple joint density for pricing exotic options and variance derivatives under the 3/2 model W Zheng, P Zeng Available at SSRN 2421268, 2014 | 2 | 2014 |
| Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps W Zhang, P Zeng, G Zhang, YK Kwok Journal of Scientific Computing 98 (2), 47, 2024 | 1 | 2024 |
| How do foreign investors affect China’s stock return volatility? Evidence from the Shanghai-Hong Kong Stock Connect Program W Chen, R Mamon, H Xiong, P Zeng Asia-Pacific Journal of Accounting & Economics 31 (1), 1-24, 2024 | 1 | 2024 |
| Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps W Zhang, P Zeng, YK Kwok Operations Research Letters 51 (6), 687-694, 2023 | 1 | 2023 |
| Pricing contingent convertibles with idiosyncratic risk X Wang, Z Yang, P Zeng International Journal of Economic Theory 19 (3), 660-693, 2023 | 1 | 2023 |
| Computable error bounds of multidimensional Euler inversion and their financial applications P Zeng, C Shi Operations Research Letters 50 (6), 726-731, 2022 | 1 | 2022 |
| Does uncertainty affect the limits of arbitrage? Evidence from the US stock markets W Chen, R Mamon, H Xiong, P Zeng The North American Journal of Economics and Finance 74, 102221, 2024 | | 2024 |
