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~person:"Guirguis, Michel"
~person:"Kwok, Yue-Kuen"
~person:"Wang, Xingchun"
~type_genre:"Article in journal"
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Option trading
34
Optionsgeschäft
34
Option pricing theory
29
Optionspreistheorie
29
Credit risk
14
Derivat
14
Derivative
14
Kreditrisiko
14
Volatility
11
Volatilität
11
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9
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Theorie
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Theory
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Vulnerable options
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Analysis of variance
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Guirguis, Michel
Kwok, Yue-Kuen
Wang, Xingchun
Ryu, Doojin
24
Zhang, Jin E.
18
Carr, Peter
16
Lee, Hangsuck
15
Kang, Jangkoo
12
Cui, Zhenyu
11
Zanette, Antonino
11
Lung, Peter P.
10
Madan, Dilip B.
10
Wu, Liuren
10
Chang, Chuang-chang
9
Doran, James S.
9
Escobar, Marcos
9
Fodor, Andy
9
Fusai, Gianluca
9
Schoutens, Wim
9
Cai, Ning
8
He, Xin-Jiang
8
Joshi, Mark S.
8
Kirkby, J. Lars
8
Orosi, Greg
8
Poteshman, Allen M.
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Ruan, Xinfeng
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Siu, Tak Kuen
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Truong, Cameron
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Yang, Heejin
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Dai, Min
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Elliott, Robert J.
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Ronn, Ehud I.
7
Stentoft, Lars
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7
Wei, Jason
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6
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Finance research letters
5
The North American journal of economics and finance : a journal of financial economics studies
5
Review of derivatives research
4
Applied economics letters
3
International journal of theoretical and applied finance
3
Applied mathematical finance
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
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The European journal of finance
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The journal of futures markets
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Asia-Pacific financial markets
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Insurance / Mathematics & economics
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International review of economics & finance : IREF
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International review of finance
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Journal of financial engineering
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ECONIS (ZBW)
34
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1
Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
Zhang, Weinan
;
Zeng, Pingping
;
Kwok, Yue-Kuen
- In:
Operations research letters
51
(
2023
)
6
,
pp. 687-694
Persistent link: https://www.econbiz.de/10014465892
Saved in:
2
Valuing basket-spread options with default risk under Hawkes jump-diffusion processes
Li, Zelei
;
Tang, Dan
;
Wang, Xingchun
- In:
The European journal of finance
29
(
2023
)
12
,
pp. 1406-1431
Persistent link: https://www.econbiz.de/10014323018
Saved in:
3
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
4
Exchange options and spread options with stochastically correlated underlyings
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
12
,
pp. 1060-1068
Persistent link: https://www.econbiz.de/10013412038
Saved in:
5
Pricing basket spread options with default risk under Heston-Nandi GARCH models
Wang, Xingchun
;
Zhang, Han
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013413519
Saved in:
6
Pricing vulnerable options with stochastic liquidity risk
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013449096
Saved in:
7
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Saved in:
8
The values and incentive effects of options on the maximum or the minimum of the stock prices and market index
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012667343
Saved in:
9
Valuing vulnerable options with bond collateral
Wang, Guanying
;
Wang, Xingchun
- In:
Applied economics letters
28
(
2021
)
2
,
pp. 115-118
Persistent link: https://www.econbiz.de/10012415094
Saved in:
10
Pricing volatility-equity options under the modified constant elasticity of variance model
Wang, Xingchun
- In:
Finance research letters
38
(
2021
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012490200
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