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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
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The issuer-pays business model and competitive rating market : rating network structure
Zhuo, Xiaoyang; Xu, Guangli; Wang, Yongjin - In: The journal of real estate finance and economics 55 (2017) 2, pp. 216-241
Persistent link: https://www.econbiz.de/10011800525
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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
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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
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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
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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
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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
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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
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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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Psychological barriers and option pricing in a local volatility model
Li, Dan; Liu, Lixin; Xu, Guangli - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014246900