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Quadratic hedging strategies for volatility swaps
Wang, Xingchun; Fu, Jianping; Wang, Guanying; Wang, Yongjin - In: Finance research letters 15 (2015), pp. 125-132
Persistent link: https://www.econbiz.de/10011553014
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Credit spreads, endogenous bankruptcy and liquidity risk
Fu, Jianping; Wang, Xingchun; Wang, Yongjin - In: Computational Management Science 9 (2012) 4, pp. 515-530
In this paper, we consider a bond valuation model with both credit risk and liquidity risk to show that credit spreads are not negligible for short maturities. We adopt the structural approach to model credit risk, where the default triggering barrier is determined endogenously by maximizing...
Persistent link: https://www.econbiz.de/10010600732
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Rare shock, two-factor stochastic volatility and currency option pricing
Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: Applied mathematical finance 21 (2014) 1/2, pp. 32-50
Persistent link: https://www.econbiz.de/10010351858
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Pricing vulnerable options with correlated credit risk under jump-diffusion processes
Tian, Lihui; Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: The journal of futures markets 34 (2014) 10, pp. 957-979
Persistent link: https://www.econbiz.de/10010508685
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The valuation of power exchange options with counterparty risk and jump risk
Wang, Xingchun; Song, Shiyu; Wang, Yongjin - In: The journal of futures markets 37 (2017) 5, pp. 499-521
Persistent link: https://www.econbiz.de/10011950726
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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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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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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
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Judicial quality, contract intensity and exports : firm-level evidence
Wang, Yongjin; Wang, Yanling; Li, Kunwang - In: China economic review : an international journal 31 (2014), pp. 32-42
Persistent link: https://www.econbiz.de/10011288914
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Saving good jobs under global competition by rewarding quality and efforts
Wang, Yongjin; Zhao, Laixun - 2013
Persistent link: https://www.econbiz.de/10009765770