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Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Ma, Changfu; Xu, Wei; Kwok, Yue-Kuen - In: International journal of financial engineering 7 (2020) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
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Cosine willow tree structure under Lévy processes with application to pricing variance derivatives
Ma, Junmei; Xu, Wei; Yao, Yi - In: The journal of derivatives : JOD 29 (2021) 2, pp. 30-60
Persistent link: https://www.econbiz.de/10012698124
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Implied volatility surface construction for commodity futures options traded in China
Xu, Wei; Šević, Aleksandar; Šević, Željko - In: Research in international business and finance 61 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10014246888
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Uncertain energy model for electricity and gas futures with application in spark-spread option price
Mehrdoust, Farshid; Noorani, Idin; Xu, Wei - In: Fuzzy optimization and decision making : a journal of … 22 (2023) 1, pp. 123-148
Persistent link: https://www.econbiz.de/10014227971