Research

Ma, Jingtang, and Jiacheng Fan. "Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends." The North American Journal of Economics and Finance 37 (2016): 128-147. 

Chatterjee R, Cui Z, Fan J, et al. "An efficient and stable method for short maturity Asian options". Journal of Futures Markets, 2018, 38(12): 1470-1486.

Bi X, Cui Z, Fan J, et al. Optimal investment problem under behavioral setting: A Lagrange duality perspective. Journal of Economic Dynamics and Control, 2023, 156: 104751.

Chonghu Guan, Jiacheng Fan, Zuoquan Xu (2023) "Optimal dividend payput with drawdown constraint". Under review.

Jiacheng Fan, Zhenyu Cui (2023)  "A general framework for optimal investment problem under stochastic local volatility models". Working paper

Jiacheng Fan, Xuedong He, Yu Sun (2023) "Realization Utility Drives Diversification". Working paper

Jiacheng Fan, Xuedong He, Ruocheng Wu (2023) "Asset pricing with alpha-maxmin expected utility model". Working paper