Similar Search Results

Distribution-free approach for stochastic joint-replenishment problem with backorders-lost sales mixtures, and controllable major ordering cost and lead times

Braglia, Marcello; Castellano, Davide; Song, Dongping - In: Computers & operations research : and their … 79 (2017), pp. 161-173

Persistent link: https://www.econbiz.de/10011672954

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

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

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

Lassen sich Ertragsrisiken in der Landwirtschaft Global diversifizieren?

Liu, Xiaoliang; Xu, Wei; Odening, Martin - In: Möglichkeiten und Grenzen der wissenschaftlichen …, (pp. 245-258). 2011

Persistent link: https://www.econbiz.de/10009510432

Management of climate risks in agriculture - will weather derivatives permeate?

Mußhoff, Oliver; Odening, Martin; Xu, Wei - In: Applied economics 43 (2011) 7/9, pp. 1067-1077

Persistent link: https://www.econbiz.de/10009124303

Willow Tree Algorithms for Pricing VIX Derivatives Under Stochastic Volatility Models

Ma, Changfu - 2020

VIX futures and option are the most popular contracts traded in the Chicago Board Options Exchange. The bid-ask spreads of traded VIX derivatives remain to be wide, possibly due to lack of reliable pricing models. In this paper, we consider pricing VIX derivatives under the consistent model...

Persistent link: https://www.econbiz.de/10012847129