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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

Inventory hedging and option market making

Giannetti, Antoine; Zhong, Rui; Wu, Lixin - In: International journal of theoretical and applied finance 7 (2004) 7, pp. 853-878

Persistent link: https://www.econbiz.de/10002420716

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