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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://www.econbiz.de/10015199911

A unified Willow tree framework for one-factor short-rate models

Wang, Guangguang; Xu, Wei - In: The journal of derivatives : the official publication … 25 (2018) 3, pp. 33-54

Persistent link: https://www.econbiz.de/10011941393

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

Willow Tree Algorithms for Pricing Guaranteed Minimum Withdrawal Benefits Under Jump-Diffusion and CEV Models

Dong, Bing - 2019

This paper presents the willow tree algorithms for pricing variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB), where the underlying fund dynamics evolve under the Merton jump-diffusion process or constant-elasticity-of-variance (CEV) process. The GMWB rider gives the...

Persistent link: https://www.econbiz.de/10012898983

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

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

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

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

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

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