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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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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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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