Xingchun Wang

Available identifiers

zbMath Open wang.xingchunMaRDI QIDQ380554

List of research outcomes

Publication	Date of Publication	Type
Pricing vulnerable basket spread options with liquidity risk	2024-03-19	Paper
Pricing vulnerable fader options under stochastic volatility models	2023-03-29	Paper
Pricing path-dependent options under the Hawkes jump diffusion process	2022-11-14	Paper
Valuing fade-in options with default risk in Heston-Nandi GARCH models	2022-08-19	Paper
Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity	2022-08-02	Paper
Asymptotics of the solutions to stochastic wave equations driven by a non-Gaussian Lévy process	2022-07-01	Paper
Pricing vulnerable options with stochastic volatility	2022-06-20	Paper
Pricing vulnerable options with jump risk and liquidity risk	2021-12-13	Paper
On the transition density and first hitting time distributions of the doubly skewed CIR process	2021-11-09	Paper
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes	2021-06-30	Paper
Analytical valuation of vulnerable European and Asian options in intensity-based models	2021-04-23	Paper
A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK	2020-05-27	Paper
THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS	2019-11-07	Paper
PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION	2019-03-13	Paper
Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing	2018-09-11	Paper
Long time behavior for stochastic Burgers equations with jump noises	2018-07-27	Paper
Long time stability of nonlocal stochastic Kuramoto-Sivashinsky equations with jump noises	2017-10-06	Paper
ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK	2017-09-19	Paper
PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES	2017-09-19	Paper
Catastrophe equity put options with target variance	2016-12-14	Paper
Long time behavior for nonlocal stochastic Kuramoto-Sivashinsky equations	2014-06-05	Paper
Hedging strategies for discretely monitored Asian options under Lévy processes	2014-03-11	Paper
Credit spreads, endogenous bankruptcy and liquidity risk	2014-01-30	Paper
Variance-optimal hedging for target volatility options	2013-11-14	Paper
On a stochastic heat equation with first order fractional noises and applications to finance	2012-10-19	Paper
Stochastic wave equation of pure jumps: Existence, uniqueness and invariant measures	2012-07-16	Paper

Research outcomes over time

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