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Markov-modulated jump : diffusions for currency option pricing
Bo, Lijun; Wang, Yongjin; Yang, Xuewei - In: Insurance / Mathematics & economics 46 (2010) 3, pp. 461-469
Persistent link: https://www.econbiz.de/10003981142
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Derivative pricing based on the exchange rate in a target zone with realignment
Bo, Lijun; Wang, Yongjin; Yang, Xuewei - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 945-956
Persistent link: https://www.econbiz.de/10009380992
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Lévy risk model with two-sided jumps and a barrier dividend strategy
Bo, Lijun; Song, Renming; Tang, DanLing; Wang, Yongjin; … - In: Insurance / Mathematics & economics 50 (2012) 2, pp. 280-291
Persistent link: https://www.econbiz.de/10009507927
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The hitting time density for a reflected Brownian motion
Hu, Qin; Wang, Yongjin; Yang, Xuewei - In: Computational economics 40 (2012) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009627574
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A computational approach to first passage problems of reflected hyperexponential jump diffusion processes
Cai, Ning; Yang, Xuewei - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 216-229
Persistent link: https://www.econbiz.de/10012496376
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Delta hedging and volatility-price elasticity : a two-step approach
Xia, Kun; Yang, Xuewei; Zhu, Peng - In: Journal of banking & finance 153 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014490307