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Dynamic asset allocation with jump risk

Xu, Weidong; Wu, Chongfeng; Xu, Weijun; Li, Hongyi - In: Journal of risk 12 (2009/10) 3, pp. 29-44

Persistent link: https://www.econbiz.de/10003970172

A robust general equilibrium stochastic volatility model with recursive preference investors

Xu, Weidong; Li, Hongyi; Wu, Chongfeng - In: Annals of economics and finance 12 (2011) 2, pp. 217-231

Persistent link: https://www.econbiz.de/10009425023

Accounting for the impact of higher order moments in foreign equity option pricing model

Xu, Weidong; Wu, Chongfeng; Li, Hongyi - In: Economic modelling 28 (2011) 4, pp. 1726-1729

Persistent link: https://www.econbiz.de/10009271214

Foreign equity option pricing under stochastic volatility model with double jumps

Xu, Weidong; Wu, Chongfeng; Li, Hongyi - In: Economic modelling 28 (2011) 4, pp. 1857-1863

Persistent link: https://www.econbiz.de/10009272421

Robust general equilibrium under stochastic volatility model

Xu, Weidong; Wu, Chongfeng; Li, Hongyi - In: Finance research letters 7 (2010) 4, pp. 224-231

Persistent link: https://www.econbiz.de/10009272750

A jump-diffusion model for option pricing under fuzzy environments

Xu, Weidong; Wu, Chongfeng; Xu, Weijun; Li, Hongyi - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 337-344

Persistent link: https://www.econbiz.de/10009517630

A Robust General Equilibrium Stochastic Volatility Model with Recursive Preference Investors

Xu, Weidong; Li, Hongyi; Wu, Chongfeng - In: Annals of Economics and Finance 12 (2011) 2, pp. 217-231

This paper investigates the implications of model uncertainty for the equity premium in a stochastic volatility model. We consider a general equilibrium setting with one representative agent who has a stochastic differential utility. The results show that the equilibrium equity premium consists...

Persistent link: https://www.econbiz.de/10009283247

A jump-diffusion model for option pricing under fuzzy environments

Xu, Weidong; Wu, Chongfeng; Xu, Weijun; Li, Hongyi - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 337-344

Persistent link: https://www.econbiz.de/10008244978

Foreign equity option pricing under stochastic volatility model with double jumps

Xu, Weidong; Wu, Chongfeng; Li, Hongyi - In: Economic modelling 28 (2011) 4, pp. 1857-1864

Persistent link: https://www.econbiz.de/10009017409

Accounting for the impact of higher order moments in foreign equity option pricing model

Xu, Weidong; Wu, Chongfeng; Li, Hongyi - In: Economic modelling 28 (2011) 4, pp. 1726-1730

Persistent link: https://www.econbiz.de/10009017424