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Guo, Guixia; Wang, Frank Yong; Wei, Xu - In: Economics letters 124 (2014) 2, pp. 222-226

Persistent link: https://www.econbiz.de/10010493719

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

Lassen sich Ertragsrisiken in der Landwirtschaft Global diversifizieren?

Liu, Xiaoliang; Xu, Wei; Odening, Martin - In: Möglichkeiten und Grenzen der wissenschaftlichen …, (pp. 245-258). 2011

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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

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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

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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 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

Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree

Ma, Changfu; Xu, Wei; Yuan, George - In: Quantitative finance 20 (2020) 12, pp. 2037-2053

Persistent link: https://www.econbiz.de/10012313551

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

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Risk-based capital for variable annuity under stochastic interest rate

Wang, JinDong; Xu, Wei - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 959-999

Persistent link: https://www.econbiz.de/10012307392