Xiangwei Wan

Available identifiers

zbMath Open wan.xiangweiMaRDI QIDQ833565

List of research outcomes

Publication	Date of Publication	Type
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps	2021-11-16	Paper
A new delta expansion for multivariate diffusions via the Itô-Taylor expansion	2019-04-30	Paper
The survival probability of the SABR model: asymptotics and application	2019-02-06	Paper
Approximate arbitrage-free option pricing under the SABR model	2018-08-09	Paper
SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY	2017-03-13	Paper
A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS	2013-02-28	Paper
Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options	2011-04-27	Paper
Pricing double-barrier options under a flexible jump diffusion model	2009-08-14	Paper

Research outcomes over time

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