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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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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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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
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