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Pricing and hedging of Asian options : quasi-explicit solutions via Malliavin Calculus

Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - 2009

Persistent link: https://www.econbiz.de/10003884274

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

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

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

Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk

Song, Dandan; Wang, Huamao; Yang, Zhaojun - In: Journal of mathematical economics 51 (2014), pp. 1-11

Persistent link: https://www.econbiz.de/10010478603

Utility-based pricing, timing and hedging of an American call option under an incomplete market with partial information

Song, Dandan; Yang, Zhaojun - In: Computational economics 44 (2014) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10010396234

Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk

Wang, Huamao; Yang, Zhaojun; Zhang, Hai - In: European journal of operational research : EJOR 241 (2015) 3, pp. 863-871

Persistent link: https://www.econbiz.de/10010487491

Pricing and hedging of Asian options : quasi-explicit solutions via Malliavin calculus

Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - In: Mathematical methods of operations research 74 (2011) 1, pp. 93-120

Persistent link: https://www.econbiz.de/10009270422

The Pricing and Timing of the Option to Invest for Cash Flows with Partial Information

Yang, Zhaojun - 2011

This paper extends real options theory to consider the situation where the mean appreciation rate of cash flows generated by an irreversible investment project is not observable and governed by an Ornstein-Uhlenbeck process. Our main purpose is to analyze the impact of the uncertainty of the...

Persistent link: https://www.econbiz.de/10013131905

Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information

Song, Dandan - 2012

This paper studies the pricing, timing and hedging of an American call option written on a non-tradable asset whose mean appreciation rate is not observable but is known to be a Gaussian random variable. Our goal is to analyze the effects of the partial information on investment in the American...

Persistent link: https://www.econbiz.de/10013108898