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Option pricing theory
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Xu, Wei
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The journal of derivatives : the official publication of the International Association of Financial Engineers
3
Quantitative finance
2
The journal of computational finance
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Agrarwirtschaft : Zeitschrift für Betriebswirtschaft, Marktforschung und Agrarpolitik
1
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
1
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1
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1
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1
International review of financial analysis
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ECONIS (ZBW)
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1
Endowment warrant valuation
Hoang, Philip
;
Powell, John Gregory
;
Shi, Jing
- In:
The journal of derivatives : the official publication …
7
(
1999
)
1
,
pp. 79-90
Persistent link: https://www.econbiz.de/10001432475
Saved in:
2
Executive options with inflated equity prices
Wilson, Linus
;
Wu, Yan Wendy
- In:
International journal of managerial finance : IJMF
10
(
2014
)
3
,
pp. 266-292
Persistent link: https://www.econbiz.de/10010382207
Saved in:
3
An efficient convergant lattice method for Asian option pricing with superlinear complexity
Lu, Ling
;
Xu, Wei
;
Qian, Zhehui
- In:
The journal of computational finance
20
(
2016/2017
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011691626
Saved in:
4
The efficient application of automatic differentiation for computing gradients in financial applications
Xu, Wei
;
Chen, Xi
;
Coleman, Thomas F.
- In:
The journal of computational finance
19
(
2016
)
3
,
pp. 71-96
Persistent link: https://www.econbiz.de/10011563485
Saved in:
5
Zur Bewertung von Wetterderivaten als innovative Risikomanagementinstrumente in der Landwirtschaft
Mußhoff, Oliver
;
Odening, Martin
;
Xu, Wei
- In:
Agrarwirtschaft : Zeitschrift für Betriebswirtschaft, …
54
(
2005
)
4
,
pp. 197-209
Persistent link: https://www.econbiz.de/10002848732
Saved in:
6
Willow Tree Algorithms for Pricing Guaranteed Minimum Withdrawal Benefits Under Jump-Diffusion and CEV Models
Dong, Bing
-
2019
This paper presents the willow tree algorithms for pricing variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB), where the underlying fund dynamics evolve under the Merton jump-diffusion process or constant-elasticity-of-variance (CEV) process. The GMWB rider gives the...
Persistent link: https://www.econbiz.de/10012898983
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7
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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8
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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9
Risk-based capital for variable annuity under stochastic interest rate
Wang, JinDong
;
Xu, Wei
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 959-999
Persistent link: https://www.econbiz.de/10012307392
Saved in:
10
Efficient willow tree method for variable annuities valuation and risk management
Dong, Bing
;
Xu, Wei
;
Šević, Aleksandar
;
Šević, Željko
- In:
International review of financial analysis
68
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012301004
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