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Nan Chen
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Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
N Chen, SG Kou
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009
264*2009
Contingent capital, tail risk, and debt-induced collapse
N Chen, P Glasserman, B Nouri, M Pelger
The Review of Financial Studies 30 (11), 3921-3969, 2017
136*2017
An optimization view of financial systemic risk modeling: Network effect and market liquidity effect
N Chen, X Liu, DD Yao
Operations Research 64 (5), 1089-1108, 2016
113*2016
Malliavin greeks without Malliavin calculus
N Chen, P Glasserman
Stochastic processes and their applications 117 (11), 1689-1723, 2007
1012007
Localization and exact simulation of Brownian motion driven stochastic differential equations
N Chen, H Zhengyu
Mathematics of Operations Research 38, 591-616, 2013
912013
Additive and multiplicative duals for American option pricing
N Chen, P Glasserman
Finance and Stochastics 11, 153-179, 2007
872007
Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
N Cai, N Chen, X Wan
Mathematics of Operations Research 35 (2), 412-437, 2010
732010
Pricing double-barrier options under a flexible jump diffusion model
N Cai, N Chen, X Wan
Operations Research Letters 37 (3), 163-167, 2009
662009
Exact simulation of the SABR model
N Cai, Y Song, N Chen
Operations Research 65 (4), 931-951, 2017
492017
A nonzero‐sum game approach to convertible bonds: tax benefit, bankruptcy cost, and early/late calls
N Chen, M Dai, X Wan
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013
352013
Monte Carlo simulation in financial engineering
N Chen, LJ Hong
2007 Winter Simulation Conference, 919-931, 2007
332007
American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach
N Chen, Y Liu
Operations Research 62 (3), 616-632, 2014
282014
Approximate arbitrage-free option pricing under the SABR model
N Yang, N Chen, Y Liu, X Wan
Journal of Economic Dynamics and Control 83, 198-214, 2017
25*2017
A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
N Yang, N Chen, X Wan
Journal of Econometrics 209 (2), 256-288, 2019
192019
Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
N Chen, Z Huang
Operations Research Letters 40 (6), 554-563, 2012
15*2012
Unbiased Monte Carlo computation of smooth functions of expectations via taylor expansions
JH Blanchet, N Chen, PW Glynn
2015 Winter Simulation Conference (WSC), 360-367, 2015
122015
Optimal double stopping of a Brownian bridge
EJ Baurdoux, N Chen, BA Surya, K Yamazaki
Advances in Applied Probability 47 (4), 1212-1234, 2015
102015
The principle of not feeling the boundary for the SABR model
N Chen, N Yang
Quantitative Finance 19 (3), 427-436, 2019
72019
Game Options Analysis of the Information Role of Call Policies in Convertible Bonds
CM Leung, N Chen, YK Kwok
Applied Mathematical Finance 22, 297-335, 2015
32015
Information Relaxation and A Duality-Driven Algorithm for Stochastic Dynamic Programs
N Chen, X Ma, Y Liu, W Yu
Available at SSRN 3416994, 2019
22019
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Articles 1–20