Shenghong Li

According to our database, Shenghong Li authored at least 15 papers between 2006 and 2016.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of five.

2016

Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models.

Liu Wenqiong, Shenghong Li

Appl. Math. Comput., 2016

2015

Fast Greeks by simulation: The block adjoint method with memory reduction.

Wenbin Hu, Shenghong Li

J. Comput. Appl. Math., 2015

2014

The forward-path method for pricing multi-asset American-style options under general diffusion processes.

Wenbin Hu, Shenghong Li

J. Comput. Appl. Math., 2014

2010

Dynamic Investment under Asymmetric Information.

Ruxing Xu, Dan Wu, Shenghong Li

J. Comput., 2010

Pricing model of interest rate swap with a bilateral default risk.

Xiaofeng Yang, Jinping Yu, Shenghong Li, Albert Jerry Cristoforo, Xiaohu Yang

J. Comput. Appl. Math., 2010

A note on "Monte Carlo analysis of convertible bonds with reset clause".

Jingyang Yang, Yoon Choi, Shenghong Li, Jinping Yu

Eur. J. Oper. Res., 2010

2009

Pricing Convertible Bond with Call Clause in Exponential Variance Gamma Model.

Jinping Yu, Xiaofeng Yang, Shenghong Li, Xiaohu Yang

Proceedings of the Business Intelligence: Artificial Intelligence in Business, 2009

Pricing Convertible Bonds with Reset Clauses and Stochastic Interest Rates.

Jingyang Yang, Shenghong Li

Proceedings of the Business Intelligence: Artificial Intelligence in Business, 2009

A Tree Model for Pricing Convertible Bonds with Equity, Market and Default Risk.

Ruxing Xu, Shenghong Li

Proceedings of the Business Intelligence: Artificial Intelligence in Business, 2009

A Fast Algorithm for Solving the Pricing of American Options.

Xiaoyu Ren, Shenghong Li, Xinping Shao

Proceedings of the Business Intelligence: Artificial Intelligence in Business, 2009

On the Time to Ruin for Erlang(2) Risk Model in a Markov Environment.

Cong Gu, Shenghong Li, Bo Zhou

Proceedings of the Business Intelligence: Artificial Intelligence in Business, 2009

The Investment-Uncertainty Relationship in a Real Option Model.

Shanshan Ding, Liugen Wang, Shenghong Li

Proceedings of the Business Intelligence: Artificial Intelligence in Business, 2009

2007

On reset option pricing in binomial market with both fixed and proportional transaction costs.

Chao Sun, Jing-Yang Yang, Sheng-Hong Li

Appl. Math. Comput., 2007

On barrier option pricing in binomial market with transaction costs.

Chao Sun, Jing-Yang Yang, Sheng-Hong Li

Appl. Math. Comput., 2007

2006

Pricing American interest rate option on zero-coupon bond numerically.

Shujin Li, Shenghong Li

Appl. Math. Comput., 2006