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accessRights:"restricted"
~accessRights:"free"
~person:"Feng, Lingbing"
~person:"He, Xin-Jiang"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Option pricing theory"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammlung"
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Feng, Lingbing
He, Xin-Jiang
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 662-676
Persistent link: https://www.econbiz.de/10014293179
Saved in:
2
Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha
;
He, Xin-Jiang
- In:
Computational economics
59
(
2022
)
3
,
pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
Saved in:
3
Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension
Feng, Lingbing
;
Fu, Tong
;
Shi, Yanlin
;
Wang, Zili
- In:
Finance research letters
40
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012819431
Saved in:
4
Markov regime-switching autoregressive model with tempered stable distribution : simulation evidence
Feng, Lingbing
;
Shi, Yanlin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012198500
Saved in:
5
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
Saved in:
6
A discussion on the innovation distribution of the Markov regime-switching GARCH model
Shi, Yanlin
;
Feng, Lingbing
- In:
Economic modelling
53
(
2016
),
pp. 278-288
Persistent link: https://www.econbiz.de/10011641034
Saved in:
7
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
71
(
2016
),
pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
Saved in:
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