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Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Cai, Ning; Li, Chenxu; Shi, Chao - In: Journal of economic dynamics & control 127 (2021), pp. 1-41
Persistent link: https://www.econbiz.de/10012668507
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On fiscal and monetary policy-induced macroeconomic volatility dynamics
Liu, Xiaochun - In: Journal of economic dynamics & control 127 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012668875
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Pricing and exercising American options : an asymptotic expansion approach
Li, Chenxu; Ye, Yongxin - In: Journal of economic dynamics & control 107 (2019), pp. 1-32
Persistent link: https://www.econbiz.de/10012312643
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A new approach to risk-return trade-off dynamics via decomposition
Frazier, David T.; Liu, Xiaochun - In: Journal of economic dynamics & control 62 (2016), pp. 43-55
Persistent link: https://www.econbiz.de/10011708149
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Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
Li, Chenxu; Wu, Linjia - In: European journal of operational research : EJOR 275 (2019) 2, pp. 768-779
Persistent link: https://www.econbiz.de/10011993586