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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://www.econbiz.de/10012698124

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

Willow Tree Algorithms for Pricing VIX Derivatives Under Stochastic Volatility Models

Ma, Changfu - 2020

VIX futures and option are the most popular contracts traded in the Chicago Board Options Exchange. The bid-ask spreads of traded VIX derivatives remain to be wide, possibly due to lack of reliable pricing models. In this paper, we consider pricing VIX derivatives under the consistent model...

Persistent link: https://www.econbiz.de/10012847129

Implied volatility surface construction for commodity futures options traded in China

Xu, Wei; Šević, Aleksandar; Šević, Željko - In: Research in international business and finance 61 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10014246888

Uncertain energy model for electricity and gas futures with application in spark-spread option price

Mehrdoust, Farshid; Noorani, Idin; Xu, Wei - In: Fuzzy optimization and decision making : a journal of … 22 (2023) 1, pp. 123-148

Persistent link: https://www.econbiz.de/10014227971

Evaluating credit valuation adjustment with wrong-way risk for Bermudan options

Dong, Bing; Xu, Wei; Wang, Guangguang - In: The journal of computational finance : JFC 27 (2023) 3, pp. 115-155

Persistent link: https://www.econbiz.de/10014487048

Zur Bewertung von Wetterderivaten als innovative Risikomanagementinstrumente in der Landwirtschaft

Mußhoff, Oliver; Odening, Martin; Xu, Wei - In: Agrarwirtschaft : Zeitschrift für Betriebswirtschaft, … 54 (2005) 4, pp. 197-209

Die Bedeutung des Wetters als Risikofaktor in der Landwirtschaft ist seit langem bekannt. Zur Reduzierung wetterbedingter Risiken wurden in den letzten Jahren insbesondere Ertragsausfallversicherungen diskutiert. Ein relativ neues Instrument zur Steuerung des Mengenrisikos stellen sog....

Persistent link: https://www.econbiz.de/10015137707

Management of climate risks in agriculture - will weather derivatives permeate?

Mußhoff, Oliver; Odening, Martin; Xu, Wei - In: Applied economics 43 (2011) 7/9, pp. 1067-1077

Persistent link: https://www.econbiz.de/10009124303

Indifference pricing of weather derivatives

Xu, Wei; Odening, Martin; Mußhoff, Oliver - In: American journal of agricultural economics 90 (2008) 4, pp. 979-993

Persistent link: https://www.econbiz.de/10003761518

Analysis of rainfall derivatives using daily precipitation models : opportunities and pitfalls

Odening, Martin; Musshoff, Oliver; Xu, Wei - In: Agricultural finance review 67 (2007) 1, pp. 135-156

Persistent link: https://www.econbiz.de/10003495791