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Rare shock, two-factor stochastic volatility and currency option pricing

Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: Applied mathematical finance 21 (2014) 1/2, pp. 32-50

Persistent link: https://www.econbiz.de/10010351858

Quadratic hedging strategies for volatility swaps

Wang, Xingchun; Fu, Jianping; Wang, Guanying; Wang, Yongjin - In: Finance research letters 15 (2015), pp. 125-132

Persistent link: https://www.econbiz.de/10011553014

Profitability of reversal strategies : a modified version of the Carhart model in China

Zhang, Wei; Wang, Guanying; Wang, Xingchun; Xiong, Xiong; … - In: Economic modelling 69 (2018), pp. 26-37

Persistent link: https://www.econbiz.de/10012016080

Valuation of catastrophe equity put options with correlated default risk and jump risk

Bi, Hongwei; Wang, Guanying; Wang, Xingchun - In: Finance research letters 29 (2019), pp. 323-329

Persistent link: https://www.econbiz.de/10012419135

Valuing vulnerable options with bond collateral

Wang, Guanying; Wang, Xingchun - In: Applied economics letters 28 (2021) 2, pp. 115-118

Persistent link: https://www.econbiz.de/10012415094

Exchange options for catastrophe risk management

Wang, Guanying; Wang, Xingchun; Shao, Xinjian - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013413429

The valuation of power exchange options with counterparty risk and jump risk

Wang, Xingchun; Song, Shiyu; Wang, Yongjin - In: The journal of futures markets 37 (2017) 5, pp. 499-521

Persistent link: https://www.econbiz.de/10011950726

The valuation of vulnerable European options with risky collateral

Wang, Guanying; Wang, Xingchun; Shao, Xinjian - In: The European journal of finance 26 (2020) 13, pp. 1315-1331

Persistent link: https://www.econbiz.de/10012264969

Pricing European options under a diffusion model with psychological barriers and leverage effect

Song, Shiyu; Wang, Guanying; Wang, Yongjin - In: The European journal of finance 26 (2020) 12, pp. 1184-1206

Persistent link: https://www.econbiz.de/10012264954

Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes

Tian, Lihui; Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: Journal of Futures Markets 34 (2014) 10, pp. 957-979

This study extends the framework of Klein [Journal of Banking & Finance, 20, 1211–1229] to price vulnerable options. We provide a pricing model for vulnerable options which face not only default risk but also rare shocks encountered by the underlying asset and the assets of the counterparty....

Persistent link: https://www.econbiz.de/10011085306