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Approximate arbitrage-free option pricing under the SABR model
Yang, Nian
;
Chen, Nan
;
Liu, Yanchu
;
Wan, Xiangwei
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 198-214
Persistent link: https://www.econbiz.de/10011915586
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Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei
;
Yang, Nian
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
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3
The survival probability of the SABR model : asymptotics and application
Yang, Nian
;
Wan, Xiangwei
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1767-1779
Persistent link: https://www.econbiz.de/10012261910
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4
The principle of not feeling the boundary for the SABR model
Chen, Nan
;
Yang, Nian
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 427-436
Persistent link: https://www.econbiz.de/10012194662
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Sensitivity analysis of nonlinear behavior with distorted probability
Cao, Xi-Ren
;
Wan, Xiangwei
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 115-150
Persistent link: https://www.econbiz.de/10011739450
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6
Nonconcave utility maximization with portfolio bounds
Dai, Min
;
Kou, Steven
;
Qian, Shuaijie
;
Wan, Xiangwei
- In:
Management science : journal of the Institute for …
68
(
2022
)
11
,
pp. 8368-8385
Persistent link: https://www.econbiz.de/10014280204
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Asymptotics for the survival probability of time-inhomogeneous diffusion processes
Wang, Yimei
;
Yang, Nian
- In:
Operations research letters
51
(
2023
)
3
,
pp. 308-311
Persistent link: https://www.econbiz.de/10014374890
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8
Game options analysis of the information role of call policies in convertible bonds
Leung, Chi Man
;
Chen, Nan
;
Kwok, Yue-Kuen
- In:
Applied mathematical finance
22
(
2015
)
3/4
,
pp. 297-335
Persistent link: https://www.econbiz.de/10011436213
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9
Chinese outbound tourist preferences for all-inclusive group package tours : a latent class choice model
Chen, Nan
;
Masiero, Lorenzo
;
Hsu, Cathy H. C.
- In:
Journal of travel research : a quarterly publication of …
58
(
2019
)
6
,
pp. 916-931
Persistent link: https://www.econbiz.de/10012050674
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10
An optimization view of financial systemic risk modeling : network effect and market liquidity effect
Chen, Nan
;
Liu, Xin
;
Yao, David D.
- In:
Operations research
64
(
2016
)
5
,
pp. 1089-1108
Persistent link: https://www.econbiz.de/10011594656
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