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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://ebvufind01.dmz1.zbw.eu/10014231076
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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://ebvufind01.dmz1.zbw.eu/10012698124
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Implied willow tree
Dong, Bing; Xu, Wei; Cui, Zhenyu - In: The journal of derivatives : JOD 31 (2024) 4, pp. 44-74
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015199911