Similar Search Results

An efficient convergant lattice method for Asian option pricing with superlinear complexity

Lu, Ling; Xu, Wei; Qian, Zhehui - In: The journal of computational finance 20 (2016/2017) 4, pp. 1-38

Persistent link: https://www.econbiz.de/10011691626

Volatilities implied by price changes in the S&P 500 options and futures contracts

Hilliard, Jitka; Li, Wei - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 599-626

Persistent link: https://www.econbiz.de/10010431376

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

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

A simple and efficient two-factor willow tree method for convertible bond pricing with stochastic interest rate and default risk

Lu, Ling; Xu, Wei - In: The journal of derivatives : the official publication … 25 (2017) 1, pp. 37-54

Persistent link: https://www.econbiz.de/10011931521

The efficient application of automatic differentiation for computing gradients in financial applications

Xu, Wei; Chen, Xi; Coleman, Thomas F. - In: The journal of computational finance 19 (2016) 3, pp. 71-96

Persistent link: https://www.econbiz.de/10011563485

Pricing American options by Willow Tree method under jump-diffusion process

Xu, Wei; Yin, Yufang - In: The journal of derivatives : the official publication … 22 (2014) 1, pp. 46-56

Persistent link: https://www.econbiz.de/10011634589

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

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