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A new algorithm for calibrating local regime-switching models
He, Xin-Jiang; Zhu, Song-Ping - In: IMA journal of management mathematics 32 (2021) 2, pp. 237-255
Persistent link: https://www.econbiz.de/10012434403
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Stochastic modelling and forecasting of wind capacity utilization with applications to risk management : the Australian case
Alfeus, Mesias; Mwampashi, Muthe M.; Nikitopoulos, … - In: Pacific-Basin finance journal 91 (2025), pp. 1-14
Persistent link: https://www.econbiz.de/10015405151
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Vulnerable options with regime switching and stochastic liquidity
He, Xin-Jiang; Pasricha, Puneet; Lu, Tuantuan; Lin, Sha - In: The quarterly review of economics and finance 98 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10015188648
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A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
He, Xin-Jiang; Chen, Wenting - In: Mathematics and financial economics 15 (2021) 2, pp. 381-396
Persistent link: https://www.econbiz.de/10012500035