Similar Search Results

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

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

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

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

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

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

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

Pricing American options by Willow Tree method under jump-diffusion process

Xu, Wei; Yin, Yufang - In: The journal of derivatives : the official publication … 22 (2014) 1, pp. 46-56

Persistent link: https://www.econbiz.de/10011634589

A simple and efficient two-factor willow tree method for convertible bond pricing with stochastic interest rate and default risk

Lu, Ling; Xu, Wei - In: The journal of derivatives : the official publication … 25 (2017) 1, pp. 37-54

Persistent link: https://www.econbiz.de/10011931521