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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

A new lattice approach for risk-minimization hedging under generalized autoregressive conditional heteroskedasticity models

Ma, Junmei; Wang, Chen; Xu, Wei - In: European journal of operational research : EJOR 321 (2025) 3, pp. 1021-1035

Persistent link: https://www.econbiz.de/10015409961

Willow Tree Algorithms for Pricing VIX Derivatives Under Stochastic Volatility Models

Ma, Changfu - 2020

VIX futures and option are the most popular contracts traded in the Chicago Board Options Exchange. The bid-ask spreads of traded VIX derivatives remain to be wide, possibly due to lack of reliable pricing models. In this paper, we consider pricing VIX derivatives under the consistent model...

Persistent link: https://www.econbiz.de/10012847129

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

Price of climate risk hedging under uncertainty

Rubtsov, Alexey; Xu, Wei; Šević, Aleksandar; Šević, … - In: Technological forecasting & social change : an … 165 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012671618

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

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

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

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

Die Bedeutung des Wetters als Risikofaktor in der Landwirtschaft ist seit langem bekannt. Zur Reduzierung wetterbedingter Risiken wurden in den letzten Jahren insbesondere Ertragsausfallversicherungen diskutiert. Ein relativ neues Instrument zur Steuerung des Mengenrisikos stellen sog....

Persistent link: https://www.econbiz.de/10015137707

Joint calibration of S&P 500 and VIX options under local stochastic volatility models

Zhou, Zhiqiang; Xu, Wei; Rubtsov, Alexey - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 273-310

Persistent link: https://www.econbiz.de/10014469009