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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
Saved in:
2
Derivative pricing based on the exchange rate in a target zone with realignment
Bo, Lijun
;
Wang, Yongjin
;
Yang, Xuewei
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 945-956
Persistent link: https://www.econbiz.de/10009380992
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3
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
Saved in:
4
Optimal investment and consumption with default risk : HARA utility
Bo, Lijun
;
Li, Xindan
;
Wang, Yongjin
;
Yang, Xuewei
- In:
Asia-Pacific financial markets
20
(
2013
)
3
,
pp. 261-281
Persistent link: https://www.econbiz.de/10010188303
Saved in:
5
Exponential change of measure applied to term structures of interest rates and exchange rates
Bo, Lijun
- In:
Insurance / Mathematics & economics
49
(
2011
)
2
,
pp. 216-225
Persistent link: https://www.econbiz.de/10009242032
Saved in:
6
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
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7
Winners, losers, and regulators in a derivatives market bubble
Li, Xindan
;
Subrahmanyam, Avanidhar
;
Yang, Xuewei
- In:
The review of financial studies
34
(
2021
)
1
,
pp. 313-350
Persistent link: https://www.econbiz.de/10012405814
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8
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
Saved in:
9
Can financial innovation succeed by catering to behavioral preferences? : evidence from a callable options market
Li, Xindan
;
Subrahmanyam, Avanidhar
;
Yang, Xuewei
- In:
Journal of financial economics
128
(
2018
)
1
,
pp. 38-65
Persistent link: https://www.econbiz.de/10011969106
Saved in:
10
International reserve management : a drift-switching reflected jump-diffusion model
Cai, Ning
;
Yang, Xuewei
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 409-446
Persistent link: https://www.econbiz.de/10011969150
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