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~isPartOf:"Applied economics letters"
~isPartOf:"Review of derivatives research"
~person:"Nie, He"
~person:"Wang, Xingchun"
~person:"Zhang, Jin E."
~subject:"GARCH models"
~subject:"Option pricing theory"
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GARCH models
Option pricing theory
Optionspreistheorie
13
Volatility
8
Volatilität
8
Credit risk
7
Derivat
7
Derivative
7
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American options
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Nie, He
Wang, Xingchun
Zhang, Jin E.
Jarrow, Robert A.
4
Ritchken, Peter H.
4
Ryu, Doojin
4
Escobar, Marcos
3
Guillaume, Florence
3
Lyuu, Yuh-dauh
3
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3
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3
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2
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Applied economics letters
Review of derivatives research
Finance research letters
7
The journal of futures markets
7
The North American journal of economics and finance : a journal of financial economics studies
6
Journal of economic dynamics & control
3
The European journal of finance
3
Applied economics
2
International review of economics & finance : IREF
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Applied mathematical finance
1
Economic modelling
1
Economics letters
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International journal of theoretical and applied finance
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ECONIS (ZBW)
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1
Analytical pricing of American options
Cheng, Jun
;
Zhang, Jin E.
- In:
Review of derivatives research
15
(
2012
)
2
,
pp. 157-192
Persistent link: https://www.econbiz.de/10009629059
Saved in:
2
Options on the minimum or the maximum of two average prices
Wu, Xueping
;
Zhang, Jin E.
- In:
Review of derivatives research
3
(
1999
)
2
,
pp. 183-204
Persistent link: https://www.econbiz.de/10001484572
Saved in:
3
Pricing European basket warrants with default risk under stochastic volatility models
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
3
,
pp. 253-260
Persistent link: https://www.econbiz.de/10012803500
Saved in:
4
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:
5
Valuing fade-in options with default risk in Heston-Nandi GARCH models
Wang, Xingchun
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10013191374
Saved in:
6
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:
7
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Liang, Gechun
;
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012498465
Saved in:
8
Pricing VIX derivatives with free stochastic volatility model
Lin, Wei
;
Li, Shenghong
;
Chern, Shane
;
Zhang, Jin E.
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 41-75
Persistent link: https://www.econbiz.de/10012311659
Saved in:
9
Valuing vulnerable options with two underlying assets
Wang, Xingchun
- In:
Applied economics letters
27
(
2020
)
21
,
pp. 1699-1706
Persistent link: https://www.econbiz.de/10012315771
Saved in:
10
Pricing options on the maximum of two average prices under stochastic volatility models
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
10
,
pp. 887-894
Persistent link: https://www.econbiz.de/10013411818
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