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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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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
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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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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
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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
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Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
Dong, Bing; Xu, Wei; Kwok, Yue-Kuen - In: Quantitative finance 19 (2019) 10, pp. 1741-1761
Persistent link: https://www.econbiz.de/10012194821
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Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree
Ma, Changfu; Xu, Wei; Yuan, George - In: Quantitative finance 20 (2020) 12, pp. 2037-2053
Persistent link: https://www.econbiz.de/10012313551
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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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Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
Dong, Bing; Xu, Wei; Wang, Guangguang - In: The journal of computational finance : JFC 27 (2023) 3, pp. 115-155
Persistent link: https://www.econbiz.de/10014487048