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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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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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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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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