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~person:"Lotfaliei, Babak"
~person:"Nie, He"
~person:"Wang, Xingchun"
~subject:"GARCH models"
~subject:"Option pricing theory"
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GARCH models
Option pricing theory
Optionspreistheorie
34
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Lotfaliei, Babak
Nie, He
Wang, Xingchun
Madan, Dilip B.
90
Cui, Zhenyu
73
Fabozzi, Frank J.
67
Joshi, Mark S.
66
Härdle, Wolfgang
64
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60
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Fusai, Gianluca
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Siu, Tak Kuen
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Zhang, Jin E.
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Finance research letters
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6
The North American journal of economics and finance : a journal of financial economics studies
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Review of derivatives research
4
The European journal of finance
3
The journal of futures markets
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ECONIS (ZBW)
34
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1
Valuing spread options with counterparty risk and jump risk
Li, Zelei
;
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012665103
Saved in:
2
Differences in the prices of vulnerable options with different counterparties
Wang, Xingchun
- In:
The journal of futures markets
37
(
2017
)
2
,
pp. 148-163
Persistent link: https://www.econbiz.de/10011669771
Saved in:
3
Pricing vulnerable options with stochastic liquidity risk
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013449096
Saved in:
4
Rare shock, two-factor stochastic volatility and currency option pricing
Wang, Guanying
;
Wang, Xingchun
;
Wang, Yongjin
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 32-50
Persistent link: https://www.econbiz.de/10010351858
Saved in:
5
Quadratic hedging strategies for volatility swaps
Wang, Xingchun
;
Fu, Jianping
;
Wang, Guanying
;
Wang, Yongjin
- In:
Finance research letters
15
(
2015
),
pp. 125-132
Persistent link: https://www.econbiz.de/10011553014
Saved in:
6
Pricing vulnerable options with correlated credit risk under jump-diffusion processes
Tian, Lihui
;
Wang, Guanying
;
Wang, Xingchun
;
Wang, Yongjin
- In:
The journal of futures markets
34
(
2014
)
10
,
pp. 957-979
Persistent link: https://www.econbiz.de/10010508685
Saved in:
7
Valuation of options on the maximum of two prices with default risk under GARCH models
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012822187
Saved in:
8
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:
9
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:
10
To expand and to abandon : real options under asset variance risk premium
Alibeiki, Hedayat
;
Lotfaliei, Babak
- In:
European journal of operational research : EJOR
300
(
2022
)
2
,
pp. 771-787
Persistent link: https://www.econbiz.de/10013207304
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