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Li, Chenxu
Dong, Chaohua
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Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets
Li, Chenxu
;
Scaillet, Olivier
;
Shen, Yiwen
-
2020
either
closed-form
solutions or Monte Carlo simulations. With a nonrandom but time-varying interest rate, we can explicitly …
Persistent link: https://www.econbiz.de/10012219152
Saved in:
2
Closed-form
implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
3
A
closed-form
expansion approach for pricing discretely monitored variance swaps
Li, Chenxu
;
Li, Xiaocheng
- In:
Operations research letters
43
(
2015
)
4
,
pp. 450-455
Persistent link: https://www.econbiz.de/10011372393
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