Ma, Jingtang; Chen, Yong Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models. (English) Zbl 1480.91318 Int. J. Comput. Math. 97, No. 11, 2210-2232 (2020). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{J. Ma} and \textit{Y. Chen}, Int. J. Comput. Math. 97, No. 11, 2210--2232 (2020; Zbl 1480.91318) Full Text: DOI
Ma, Jingtang; Ma, Jianjun Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization. (English) Zbl 1456.65004 J. Sci. Comput. 85, No. 3, Paper No. 55, 27 p. (2020). MSC: 91G60 65M06 65M22 91G20 93E20 PDFBibTeX XMLCite \textit{J. Ma} and \textit{J. Ma}, J. Sci. Comput. 85, No. 3, Paper No. 55, 27 p. (2020; Zbl 1456.65004) Full Text: DOI
Zhou, Zhiqiang; Ma, Jingtang; Gao, Xuemei Convergence of iterative Laplace transform methods for a system of fractional PDEs and PIDEs arising in option pricing. (English) Zbl 1462.35012 East Asian J. Appl. Math. 8, No. 4, 782-808 (2018). MSC: 35A22 35R11 35R09 35R60 91G20 91G60 91G80 PDFBibTeX XMLCite \textit{Z. Zhou} et al., East Asian J. Appl. Math. 8, No. 4, 782--808 (2018; Zbl 1462.35012) Full Text: DOI Link
Ma, Jingtang; Zhou, Zhiqiang Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing. (English) Zbl 1404.65096 J. Sci. Comput. 75, No. 3, 1656-1674 (2018). MSC: 65M06 35R35 91G20 91G60 91G80 44A10 65M12 65M15 PDFBibTeX XMLCite \textit{J. Ma} and \textit{Z. Zhou}, J. Sci. Comput. 75, No. 3, 1656--1674 (2018; Zbl 1404.65096) Full Text: DOI
Ma, Jingtang; Tang, Hongji; Zhu, Song-Ping Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates. (English) Zbl 1390.91321 Int. J. Comput. Math. 95, No. 2, 341-360 (2018). MSC: 91G60 65C40 65M06 91G20 PDFBibTeX XMLCite \textit{J. Ma} et al., Int. J. Comput. Math. 95, No. 2, 341--360 (2018; Zbl 1390.91321) Full Text: DOI Link
Ma, Jingtang; Zhou, Zhiqiang; Cui, Zhenyu Hybrid Laplace transform and finite difference methods for pricing American options under complex models. (English) Zbl 1408.91235 Comput. Math. Appl. 74, No. 3, 369-384 (2017). MSC: 91G60 91G20 60G40 65M06 60J75 35R11 44A10 PDFBibTeX XMLCite \textit{J. Ma} et al., Comput. Math. Appl. 74, No. 3, 369--384 (2017; Zbl 1408.91235) Full Text: DOI
Ma, Jingtang; Li, Wenyuan; Zheng, Harry Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization. (English) Zbl 1376.91172 Eur. J. Oper. Res. 262, No. 3, 851-862 (2017). MSC: 91G60 65C05 91G10 93E20 PDFBibTeX XMLCite \textit{J. Ma} et al., Eur. J. Oper. Res. 262, No. 3, 851--862 (2017; Zbl 1376.91172) Full Text: DOI Link
Ma, Jingtang; Zhu, Tengfei Convergence rates of trinomial tree methods for option pricing under regime-switching models. (English) Zbl 1320.91158 Appl. Math. Lett. 39, 13-18 (2015). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{J. Ma} and \textit{T. Zhu}, Appl. Math. Lett. 39, 13--18 (2015; Zbl 1320.91158) Full Text: DOI