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Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility Journal article
Stochastics,2022, volume: 94, issue: 5, pages: 745-788
Authors:  Das, Kaustav;  Langrené, Nicolas
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Markovian approximation of the rough bergomi model for Monte Carlo option pricing Journal article
Mathematics,2021, volume: 9, issue: 5, pages: 1-21
Authors:  Zhu, Qinwen;  Loeper, Grégoire;  Chen, Wen;  Langrené, Nicolas
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Hedging barrier options through a log-normal local stochastic volatility model Conference paper
Proceedings - 22nd International Congress on Modelling and Simulation, MODSIM 2017
Authors:  Ning，Wei;  Lee，G.;  Langrene，N.
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Switching to nonaffine stochastic volatility: A closed-form expansion for the inverse gamma model Journal article
International Journal of Theoretical and Applied Finance,2016, volume: 19, issue: 5
Authors:  Langrené, Nicolas;  Lee, Geoffrey;  Zhu, Zili
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Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India Journal article
Emerging Markets Finance and Trade,2016, volume: 52, issue: 1, pages: 52-65
Authors:  Demir,Ender;  Fung,Ka Wai Terence;  Lu,Zhou
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Optimal strategies for asset allocation and consumption under stochastic volatility Journal article
Applied Mathematics Letters,2016, volume: 58, pages: 69-73
Authors:  Zhang, Qiang;  Ge, Lei
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A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization Journal article
Monte Carlo Methods and Applications,2014, volume: 20, issue: 2, pages: 145-165
Authors:  Kharroubi, Idris;  Langrené, Nicolas;  Pham, Huyên
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Option prices under stochastic volatility Journal article
Applied Mathematics Letters,2013, volume: 26, issue: 1, pages: 1-4
Authors:  Han, Jiguang;  Gao, Ming;  Zhang, Qiang;  Li, Yutian
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Option pricing in incomplete markets Journal article
Applied Mathematics Letters,2013, volume: 26, issue: 10, pages: 975-978
Authors:  Zhang, Qiang;  Han, Jiguang
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An analytic pricing formula for lookback options under stochastic volatility Journal article
Applied Mathematics Letters,2013, volume: 26, issue: 1, pages: 145-149
Authors:  Leung，Kwai Sun
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