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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
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Closed-form solutions for European and digital calls in the Hull and White stochastic volatility model and their relation to locally R-minimizing and Delta hedges
Ewald, Christian-Oliver (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003549952
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Real Options under a Double Exponential Jump-Diffusion Model with Regime Switching and Partial Information
Luo, Pengfei - 2015
We consider an irreversible investment in a project, which generates cash flow following a double exponential jump-diffusion process and its expected return is governed by a continuous-time two-state Markov chain. If the expected return is observable, we present explicit expressions for the...
Persistent link: https://www.econbiz.de/10013038765
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Real options under a double exponential jump-diffusion model with regime switching and partial information
Luo, Pengfei; Xiong, Jie; Yang, Jinqiang; Yang, Zhaojun - In: Quantitative finance 19 (2019) 6, pp. 1061-1073
Persistent link: https://www.econbiz.de/10012194743
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Investment and financing for SMEs with a partial guarantee and jump risk
Luo, Pengfei; Wang, Huamao; Yang, Zhaojun - In: European journal of operational research : EJOR 249 (2016) 3, pp. 1161-1168
Persistent link: https://www.econbiz.de/10011439328
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Reward-risk momentum strategies using classical tempered stable distribution
Choi, Jaehyung; Kim, Young Shin; Mitov, Ivan - In: Journal of banking & finance 58 (2015), pp. 194-213
Persistent link: https://www.econbiz.de/10011543976
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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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Valuation and analysis of contingent convertible securities with jump risk
Yang, Zhaojun; Zhao, Zhiming - In: International review of financial analysis 41 (2015), pp. 124-135
Persistent link: https://www.econbiz.de/10011508616
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Quanto option pricing with Lévy models
Fallahgoul, Hasan A.; Kim, Young Shin; Fabozzi, Frank J.; … - In: Computational economics 53 (2019) 3, pp. 1279-1308
Persistent link: https://www.econbiz.de/10012135131
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Irreversible investment, ambiguity and equity default swaps
Tang, Xiaolin; Yang, Zhaojun - In: Applied economics letters 25 (2018) 18, pp. 1301-1305
Persistent link: https://www.econbiz.de/10012135390