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CVA and FVA to derivatives trades collateralized by cash

Wu, Lixin - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-22

Persistent link: https://www.econbiz.de/10011403893

Pricing Parislan-style options with a lattice method

Avellaneda, Marco; Wu, Lixin - In: International journal of theoretical and applied finance 2 (1999) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10001372086

Asian options with the American early exercise feature

Wu, Lixin; Kwok, Yue-Kuen; Yu, Hong - In: International journal of theoretical and applied finance 2 (1999) 1, pp. 101-111

Persistent link: https://www.econbiz.de/10001372098

Pricing multi-asset options with an external barrier

Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 1 (1998) 4, pp. 523-541

Persistent link: https://www.econbiz.de/10001255555

Effects of callable feature on early exercise policy

Kwok, Yue-Kuen; Wu, Lixin - In: Review of derivatives research 4 (2000) 2, pp. 189-211

Persistent link: https://www.econbiz.de/10001566802

Optimal shouting policies of options with strike reset right

Dai, Min; Kwok, Yue-Kuen; Wu, Lixin - In: Mathematical finance : an international journal of … 14 (2004) 3, pp. 383-401

Persistent link: https://www.econbiz.de/10002125543

A Note on the Option Price and 'Mass at Zero in the Uncorrelated SABR Model and Implied Volatility Asymptotics'

Choi, Jaehyuk; Wu, Lixin - 2021

Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753-1765] provide a small-time asymptotics for the mass at zero under the uncorrelated stochastic-alpha-beta-rho (SABR) model by approximating the integrated variance with a moment-matched lognormal distribution. We improve the accuracy of the...

Persistent link: https://www.econbiz.de/10013231397

The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model

Choi, Jaehyuk; Wu, Lixin - In: Journal of economic dynamics & control 128 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012628256

A note on the option price and "mass at zero in the uncorrelated SABR model and implied volatility asymptotics"

Choi, Jaehyuk; Wu, Lixin - In: Quantitative finance 21 (2021) 7, pp. 1083-1086

Persistent link: https://www.econbiz.de/10012588019

The Equivalent Constant-Elasticity-of-Variance (CEV) Volatility of the Stochastic-Alpha-Beta-Rho (SABR) Model

Choi, Jaehyuk - 2020

This study presents new analytic approximations of the stochastic-alpha-beta-rho (SABR) model. Unlike existing studies that focus on the equivalent Black-Scholes (BS) volatility, we instead derive the equivalent constant-elasticity-of-variance (CEV) volatility. Our approach effectively reduces...

Persistent link: https://www.econbiz.de/10012846493