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Merton's portfolio problem under Volterra Heston model

Han, Bingyan; Wong, Hoi Ying - In: Finance research letters 39 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012805194

Quanto pre-washing for jump diffusion models

Wong, Hoi Ying; Lau, Ka Yung - In: Recent advances in financial engineering : proceedings …, (pp. 219-230). 2009

Persistent link: https://www.econbiz.de/10003871197

Currency option pricing : mean reversion and multi-scale stochastic volatility

Wong, Hoi Ying; Zhao, Jing - In: The journal of futures markets 30 (2010) 10, pp. 938-956

Persistent link: https://www.econbiz.de/10008900932

Variance swap with mean reversion, multifactor stochastic volatility and jumps

Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying - In: European journal of operational research : EJOR 245 (2015) 2, pp. 571-580

Persistent link: https://www.econbiz.de/10011308968

Commodity derivatives pricing with cointegration and stochastic covariances

Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing - In: European journal of operational research : EJOR 246 (2015) 2, pp. 476-486

Persistent link: https://www.econbiz.de/10011338124

Robust investment-reinsurance optimization with multiscale stochastic volatility

Pun, Chi Seng; Wong, Hoi Ying - In: Insurance / Mathematics & economics 62 (2015), pp. 245-256

Persistent link: https://www.econbiz.de/10011312060

Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps

Chung, Shing Fung; Wong, Hoi Ying - In: Journal of banking & finance 44 (2014), pp. 130-140

Persistent link: https://www.econbiz.de/10010410368

Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility

Chiu, Mei Choi; Lo, Yu Wai; Wong, Hoi Ying - In: Operations research letters 39 (2011) 4, pp. 289-295

Persistent link: https://www.econbiz.de/10009295639

Option pricing with mean reversion and stochastic volatility

Wong, Hoi Ying; Lo, Yu Wai - In: European journal of operational research : EJOR 197 (2009) 1, pp. 179-187

Persistent link: https://www.econbiz.de/10003828865

Currency Option Pricing : Mean Reversion and Multi-Scale Stochastic Volatility

Wong, Hoi Ying - 2012

This paper investigates the valuation of currency options when the underlying currency follows a mean-reverting lognormal process with multi-scale stochastic volatility. A closed-form solution is derived for the characteristic function of the log-asset price. European options can then be valued...

Persistent link: https://www.econbiz.de/10013116629