Xiaonan Su

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Asymptotics for value at risk and conditional tail expectation of a portfolio loss Applied Stochastic Models in Business and Industry	2024-07-25	Paper
Pricing and hedging for correlation options with regime switching and common jump risk Communications in Statistics: Theory and Methods	2023-07-28	Paper
Locally risk-minimizing hedging for European contingent claims written on non-tradable assets with common jump risk Probability in the Engineering and Informational Sciences	2022-11-22	Paper
Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps Journal of Industrial and Management Optimization	2022-11-14	Paper
Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim Complexity	2021-03-22	Paper
Pricing warrant bonds with credit risk under a jump diffusion process Discrete Dynamics in Nature and Society	2019-02-20	Paper
Pricing exchange options with credit risk under a reduced form model	2016-08-10	Paper
Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models Stochastic Analysis and Applications	2016-08-08	Paper
scientific article; zbMATH DE number 6453605 (Why is no real title available?)	2015-06-29	Paper
Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model Journal of Industrial and Management Optimization	2015-02-03	Paper
Valuing power options under a regime-switching model Journal of East China Normal University. Natural Science Edition	2014-11-03	Paper
Pricing options with credit risk in a reduced form model Journal of the Korean Statistical Society	2014-09-29	Paper
Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility Statistics & Probability Letters	2012-09-21	Paper
Pricing power options in a jump diffusion model	2012-01-27	Paper

Research outcomes over time

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