Yanchu Liu

Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.

Associate Professor of Finance

Haizhu District,

Guangzhou, China.

Guangzhou, Guangdong 510275

China

SCHOLARLY PAPERS

14

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1,387

SSRN CITATIONS
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SSRN RANKINGS

Top 35,863

in Total Papers Citations

19

CROSSREF CITATIONS

3

Scholarly Papers (14)

1.

Textual Sentiment, Option Characteristics, and Stock Return Predictability

IRTG 1792 Discussion Paper 2018-023
Number of pages: 54 Posted: 30 Jul 2018
Humboldt University of Berlin, University of St. Gallen - School of Economics and Political Science, Blockchain Research Center and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 357 (102,441)

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investor disagreement; option markets; overnight information; stock return predictability; textual sentiment; topic model; trading-time information

2.

Approximate Arbitrage-Free Option Pricing Under the SABR Model

Journal of Economic Dynamics and Control, Vol. 83, 2017
Number of pages: 22 Posted: 20 Oct 2016 Last Revised: 13 Sep 2017
Nian Yang, Nan Chen, Yanchu Liu and Xiangwei Wan
Nanjing University - Department of Finance and Insurance, The Chinese University of Hong Kong (CUHK), Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 189 (194,427)
Citation 3

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SABR model; Approximate solution; Arbitrage-free option pricing; Perturbation method

3.

American Option Sensitivities Estimation via a Generalized IPA Approach

Number of pages: 40 Posted: 04 May 2011 Last Revised: 09 Jul 2019
Nan Chen and Yanchu Liu
The Chinese University of Hong Kong (CUHK) and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 182 (201,022)
Citation 1

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American option, price sensitivities, Monte Carlo simulation, stochastic optimization, perturbation analysis

4.

Single-Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes

Number of pages: 20 Posted: 20 Jan 2016 Last Revised: 09 Oct 2017
Zhenyu Cui, Chihoon Lee and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 112 (295,285)
Citation 11

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Finance, Asian option, Markov process, Continuous-Time Markov Chain, Laplace transform

5.

Robust Upper Bounds for American Put Options

Number of pages: 19 Posted: 16 Aug 2016 Last Revised: 03 Sep 2017
Ye Du, Shan Xue and Yanchu Liu
Southwestern University of Finance and Economics (SWUFE) - School of Finance, Southwest University of Finance and Economics and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 86 (350,839)

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Robust upper bounds; American option pricing; Regret minimization; Gradient strategies

6.

Failure and Rescue in Central Clearing Counterparty Design

Stevens Institute of Technology School of Business Research Paper
Number of pages: 29 Posted: 25 Jul 2017 Last Revised: 16 Oct 2017
Zhenyu Cui, Chihoon Lee, Yanchu Liu and Kai Wang
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Stevens Institute of Technology - School of Business
Downloads 81 (363,735)

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systemic risk, network model, central clearing counterparty, financial innovation

7.

Information Relaxation and A Duality-Driven Algorithm for Stochastic Dynamic Programs

Number of pages: 66 Posted: 10 Jul 2019 Last Revised: 29 Jul 2020
Nan Chen, Xiang Ma, Yanchu Liu and Wei Yu
The Chinese University of Hong Kong (CUHK), The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and affiliation not provided to SSRN
Downloads 66 (407,437)

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stochastic dynamic programming; information relaxation; Monte Carlo method; optimal execution; inventory management

8.

Integral Representation of Vega for American Put Options

Number of pages: 10 Posted: 23 Aug 2016
Yanchu Liu, Zhenyu Cui and Ning Zhang
Lingnan (University) College, Sun Yat-sen University, Guangzhou, China., Stevens Institute of Technology - School of Business and Jiangxi University of Finance and Economics
Downloads 64 (413,896)

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American Put Options, Vega, Exercise Boundary, Integral Equation

9.

Transform Analysis for Markov Processes and Applications: An Operator-based Approach

Stevens Institute of Technology School of Business Research Paper
Number of pages: 27 Posted: 07 Mar 2019
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Florida State University
Downloads 60 (427,433)
Citation 2

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Transform analysis, Asset pricing, Occupation time, Markov Process, Finance

10.

Media-Expressed Tone, Option Characteristics, and Stock Return Predictability

Number of pages: 47 Posted: 05 Sep 2020
University of Glasgow, Adam Smith Business School, University of St. Gallen - School of Economics and Political Science, Blockchain Research Center and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 56 (441,810)
Citation 2

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option markets, equity markets, stock return predictability, media tone, topic model

11.

Risk Measures for Variable Annuities: A Hermite Series Expansion Approach

Number of pages: 35 Posted: 05 Aug 2017
Zhenyu Cui, J.H. Kim, Guanghua Lian and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, University of California, Berkeley - Haas School of Business and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 44 (489,568)

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Variable Annuity, GMDB, GMMB, Risk Measures, Value-At-Risk, Conditional-Tail-Expectation

12.

Pricing Continuously Monitored Barrier Options Under the Sabr Model: A Closed-Form Approximation

Number of pages: 26 Posted: 20 Dec 2017
Nian Yang, Yanchu Liu and Zhenyu Cui
Nanjing University - Department of Finance and Insurance, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Stevens Institute of Technology - School of Business
Downloads 38 (516,874)

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SABR model, continuously monitored barrier options, survival density, closed-form approximation, stochastic volatility

13.

Discrete-time Variance-optimal Deep Hedging in Affine GARCH Models

Number of pages: 35 Posted: 29 Aug 2020
Hongkai Cao, Zhenyu Cui and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 26 (582,516)

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Finance; Affine GARCH models; Variance-optimal hedge; Deep learning; Transaction costs, Target volatility options

14.

Dynamic Risk-Sharing Game and Reinsurance Contract Design

Insurance: Mathematics and Economics, Vol. 86, 2019
Number of pages: 38 Posted: 31 May 2019
Chen Shumin, Yanchu Liu and Chengguo Weng
School of Mathematics and Computational Science, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and University of Waterloo
Downloads 26 (582,516)
Citation 1

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