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A jump-diffusion model for option pricing under fuzzy environments
Xu, Weidong; Wu, Chongfeng; Xu, Weijun; Li, Hongyi - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 337-344
Persistent link: https://www.econbiz.de/10009517630
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A jump-diffusion approach to modelling vulnerable option pricing
Xu, Weidong; Xu, Weijun; Li, Hongyi; Xiao, Weilin - In: Finance research letters 9 (2012) 1, pp. 48-56
Persistent link: https://www.econbiz.de/10009575333
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A robust general equilibrium stochastic volatility model with recursive preference investors
Xu, Weidong; Li, Hongyi; Wu, Chongfeng - In: Annals of economics and finance 12 (2011) 2, pp. 217-231
Persistent link: https://www.econbiz.de/10009425023
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Accounting for the impact of higher order moments in foreign equity option pricing model
Xu, Weidong; Wu, Chongfeng; Li, Hongyi - In: Economic modelling 28 (2011) 4, pp. 1726-1729
Persistent link: https://www.econbiz.de/10009271214
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Foreign equity option pricing under stochastic volatility model with double jumps
Xu, Weidong; Wu, Chongfeng; Li, Hongyi - In: Economic modelling 28 (2011) 4, pp. 1857-1863
Persistent link: https://www.econbiz.de/10009272421
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Robust general equilibrium under stochastic volatility model
Xu, Weidong; Wu, Chongfeng; Li, Hongyi - In: Finance research letters 7 (2010) 4, pp. 224-231
Persistent link: https://www.econbiz.de/10009272750
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A jump-diffusion model for option pricing under fuzzy environments
Xu, Weidong; Wu, Chongfeng; Xu, Weijun; Li, Hongyi - In: Insurance: Mathematics and Economics 44 (2009) 3, pp. 337-344
Owing to fluctuations in the financial markets from time to time, the rate [lambda] of Poisson process and jump sequence {Vi} in the Merton's normal jump-diffusion model cannot be expected in a precise sense. Therefore, the fuzzy set theory proposed by Zadeh [Zadeh, L.A., 1965. Fuzzy sets....
Persistent link: https://www.econbiz.de/10004973712
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A jump-diffusion model for option pricing under fuzzy environments
Xu, Weidong; Wu, Chongfeng; Xu, Weijun; Li, Hongyi - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 337-344
Persistent link: https://www.econbiz.de/10008244978
Cover Image
A jump-diffusion model for option pricing under fuzzy environments
Xu, Weidong; Wu, Chongfeng; Xu, Weijun; Li, Hongyi - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 337-345
Persistent link: https://www.econbiz.de/10008892116
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Pricing black-scholes options with correlated credit risk and jump risk
Xu, Weidong; Xu, Weijun; Xiao, Weilin - In: Applied economics letters 22 (2015) 1/3, pp. 87-93
Persistent link: https://www.econbiz.de/10010482058