A finite difference method for pricing European and American options under a geometric Lévy process W Chen, S Wang Journal of Industrial & Management Optimization 11 (1), 241-264, 2015 | 35 | 2015 |
A penalty method for a fractional order parabolic variational inequality governing American put option valuation W Chen, S Wang Computers & Mathematics with Applications 67 (1), 77-90, 2014 | 34 | 2014 |
Accounting for tailings dam failures in the valuation of mining projects M Armstrong, N Langrené, R Petter, W Chen, C Petter Resources Policy 63, 101461, 2019 | 33 | 2019 |
A 2nd-order ADI finite difference method for a 2D fractional Black–Scholes equation governing European two asset option pricing W Chen, S Wang Mathematics and Computers in Simulation, 2019 | 28 | 2019 |
New Regression Monte Carlo Methods for High-dimensional Real Options Problems in Minerals industry Nicolas Langrené, Tanya Tarnopolskaya, Wen Chen, Zili Zhu, Mark Cooksey 21st International Congress on Modelling and Simulation, 2015 | 19 | 2015 |
A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing W Chen, S Wang Applied Mathematics and Computation 305, 174-187, 2017 | 13 | 2017 |
Markovian approximation of the rough Bergomi model for Monte Carlo option pricing Q Zhu, G Loeper, W Chen, N Langrené arXiv preprint arXiv:2007.02113, 2020 | 12 | 2020 |
Switching surfaces for optimal natural resource extraction under uncertainty Wen Chen, Tanya Tarnopolskaya, Nicolas Langrené, Thomas Lo 21st International Congress on Modelling and Simulation, 2015 | 12* | 2015 |
Using a stochastic economic scenario generator to analyseuncertain superannuation and retirement outcomes W Chen, B Koo, C Wang, C O'Hare, N Langrené, P Toscas, Z Zhu Annals of Actuarial Science, 2019 | 10 | 2019 |
Natural resource extraction with production target: the real option value of variable extraction rate W Chen, N Langrené, T Tarnopolskaya ROC2016, 20th Real Option Conference, 2016 | 7* | 2016 |
A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation W Chen, S Wang International Conference on Numerical Analysis and Its Applications, 46-57, 2016 | 6 | 2016 |
Switching boundaries for flexible management of natural resource investment under uncertainty T TARNOPOLSKAYA, W CHEN, C BAO | 5 | 2015 |
Personalised drawdown strategies and partial annuitisation to mitigate longevity risk W Chen, A Minney, P Toscas, B Koo, Z Zhu, AA Pantelous Finance Research Letters, 101644, 2020 | 4 | 2020 |
Designing higher value roads to preserve species risk by optimally controlling traffic flow N Davey12, N Langrené, W Chen, JR Rhodes, S Dunstall, S Halgamuge | 2* | 2019 |
Field exploration: when to start extracting? ZZ Nicolas Langrené, Wen Chen 22nd International Congress on Modelling and Simulation, Hobart, Tasmania …, 2017 | 1* | 2017 |
The effect of social licence on dynamic decisions making: a case study of a gold mine ZZ Wen Chen, Nicolas Langrené 22nd International Congress on Modelling and Simulation, Hobart, Tasmania …, 2017 | 1* | 2017 |