Narrow search
Showing 1 - 10 of 138
Cover Image
Implied willow tree
Dong, Bing; Xu, Wei; Cui, Zhenyu - In: The journal of derivatives : JOD 31 (2024) 4, pp. 44-74
Persistent link: https://www.econbiz.de/10015199911
Cover Image
Efficient willow tree method for variable annuities valuation and risk management
Dong, Bing; Xu, Wei; Šević, Aleksandar; Šević, Željko - In: International review of financial analysis 68 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012301004
Cover Image
Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
Dong, Bing; Xu, Wei; Kwok, Yue-Kuen - In: Quantitative finance 19 (2019) 10, pp. 1741-1761
Persistent link: https://www.econbiz.de/10012194821
Cover Image
Delta-gamma-like hedging with transaction cost under reinforcement learning technique
Xu, Wei; Dai, Bing - In: The journal of derivatives : JOD 29 (2022) 5, pp. 60-82
Persistent link: https://www.econbiz.de/10014231076
Cover Image
Cosine willow tree structure under Lévy processes with application to pricing variance derivatives
Ma, Junmei; Xu, Wei; Yao, Yi - In: The journal of derivatives : JOD 29 (2021) 2, pp. 30-60
Persistent link: https://www.econbiz.de/10012698124
Cover Image
Price of climate risk hedging under uncertainty
Rubtsov, Alexey; Xu, Wei; Šević, Aleksandar; Šević, … - In: Technological forecasting & social change : an … 165 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012671618
Cover Image
Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree
Ma, Changfu; Xu, Wei; Yuan, George - In: Quantitative finance 20 (2020) 12, pp. 2037-2053
Persistent link: https://www.econbiz.de/10012313551
Cover Image
Technological change and catching-up in the Indian banking sector : a time-dependent nonparametric frontier approach
Mallick, Sushanta Kumar; Rughoo, Aarti; Tzeremes, … - In: Computational economics 56 (2020) 1, pp. 217-237
Persistent link: https://www.econbiz.de/10012272027
Cover Image
Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Ma, Changfu; Xu, Wei; Kwok, Yue-Kuen - In: International journal of financial engineering 7 (2020) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
Cover Image
Risk-based capital for variable annuity under stochastic interest rate
Wang, JinDong; Xu, Wei - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 959-999
Persistent link: https://www.econbiz.de/10012307392