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Quadratic hedging strategies for volatility swaps

Wang, Xingchun; Fu, Jianping; Wang, Guanying; Wang, Yongjin - In: Finance research letters 15 (2015), pp. 125-132

Persistent link: https://www.econbiz.de/10011553014

Rare shock, two-factor stochastic volatility and currency option pricing

Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: Applied mathematical finance 21 (2014) 1/2, pp. 32-50

Persistent link: https://www.econbiz.de/10010351858

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

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

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

On the probability of default in a market with price clustering and jump risk

Song, Shiyu; Wang, Yongjin; Xu, Guangli - In: Mathematics and financial economics 14 (2020) 2, pp. 225-247

Persistent link: https://www.econbiz.de/10012240142

The pricing of basket options : a weak convergence approach

Bo, Lijun; Wang, Yongjin - In: Operations research letters 45 (2017) 2, pp. 119-125

Persistent link: https://www.econbiz.de/10011687623

Optimal credit investment and risk control for an insurer with regime-switching

Bo, Lijun; Liao, Huafu; Wang, Yongjin - In: Mathematics and financial economics 13 (2019) 1, pp. 147-172

Persistent link: https://www.econbiz.de/10012055756

Optimal investment of variance-swaps in jump-diffusion market with regime-switching

Bo, Lijun; Tang, Dan; Wang, Yongjin - In: Journal of economic dynamics & control 83 (2017), pp. 175-197

Persistent link: https://www.econbiz.de/10011915585

The Hitting Time Density for a Reflected Brownian Motion

Yang, Xuewei - 2011

Reflected Brownian motion has been played an important role in economics, finance, queueing and many other fields. In this paper, we present the explicit spectral representation for the hitting time density of the reflected Brownian motion with two-sided barriers, and give some detailed analysis...

Persistent link: https://www.econbiz.de/10013123832