An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance. - Lingfei Li; Xianjun Qu; Gongqiu Zhang (J. Comput. Appl. Math., 2016)

Option Pricing in Some Non-Lévy Jump Models. - Lingfei Li; Gongqiu Zhang (SIAM J. Sci. Comput., 2016)

Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior. - Gongqiu Zhang; Lingfei Li (Oper. Res., 2019)

Pricing American drawdown options under Markov models. - Xiang Zhang; Lingfei Li; Gongqiu Zhang (Eur. J. Oper. Res., 2021)

Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients. - Gongqiu Zhang; Lingfei Li (SIAM J. Financial Math., 2022)

Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation. - Christian Meier; Lingfei Li; Gongqiu Zhang (Eur. J. Oper. Res., 2023)

Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps. - Weinan Zhang 004; Pingping Zeng; Gongqiu Zhang; Yue Kuen Kwok (J. Sci. Comput., 2024)