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A simple trinomial lattice approach for the skew-extended CIR models

Zhuo, Xiaoyang; Xu, Guangli; Zhang, Haoyan - In: Mathematics and financial economics 11 (2017) 4, pp. 499-526

Persistent link: https://www.econbiz.de/10011900587

Bayesian Estimation of the Skew Ornstein-Uhlenbeck Process

Bai, Yizhou; Wang, Yongjin; Zhang, Haoyan; Zhuo, Xiaoyang - In: Computational economics 60 (2022) 2, pp. 479-527

Persistent link: https://www.econbiz.de/10013380789

The valuation of options on foreign exchange rate in a target zone

Xu, Guangli; Song, Shiyu; Wang, Yongjin - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10011523802

On the probability of default in a market with price clustering and jump risk

Song, Shiyu; Wang, Yongjin; Xu, Guangli - In: Mathematics and financial economics 14 (2020) 2, pp. 225-247

Persistent link: https://www.econbiz.de/10012240142

Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model

Menoukeu-Pamen, Olivier; Xu, Guangli; Zhuo, Xiaoyang - In: Quantitative finance 23 (2023) 5, pp. 843-862

Persistent link: https://www.econbiz.de/10014304369

The Issuer-Pays Business Model and Competitive Rating Market : Rating Network Structure

Zhuo, Xiaoyang - 2017

This paper develops an equilibrium model involving credit rating agencies (CRAs), issuers, regulators and investors. The model is based on two key features of the rating industry: the "issuer-pays" business model and competitive market structure. By incorporating the ratings shopping by issuers,...

Persistent link: https://www.econbiz.de/10012946176

Efficient piecewise trees for the generalized Skew Vasicek model with discontinuous drift

Zhuo, Xiaoyang; Menoukeu-Pamen, Olivier - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-34

Persistent link: https://www.econbiz.de/10011687043

A theory of equivalent expectation measures for contingent claim returns

Nawalkha, Sanjay K.; Zhuo, Xiaoyang - In: The journal of finance : the journal of the American … 77 (2022) 5, pp. 2853-2906

Persistent link: https://www.econbiz.de/10013396297

Analytical valuation of power exchange options with default risk

Xu, Guangli; Shao, Xinjian; Wang, Xingchun - In: Finance research letters 28 (2019), pp. 265-274

Persistent link: https://www.econbiz.de/10012388320

An analytical GARCH valuation model for spread options with default risk

Song, Shiyu; Tang, Dan; Xu, Guangli; Yin, Xunbai - In: International review of economics & finance : IREF 83 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014239894

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