Xiangwei Wan

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
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps Journal of Economic Dynamics and Control	2021-11-16	Paper
A new delta expansion for multivariate diffusions via the Itô-Taylor expansion Journal of Econometrics	2019-04-30	Paper
The survival probability of the SABR model: asymptotics and application Quantitative Finance	2019-02-06	Paper
Approximate arbitrage-free option pricing under the SABR model Journal of Economic Dynamics and Control	2018-08-09	Paper
Sensitivity analysis of nonlinear behavior with distorted probability Mathematical Finance	2017-03-13	Paper
A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS Mathematical Finance	2013-02-28	Paper
Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options Mathematics of Operations Research	2011-04-27	Paper
Pricing double-barrier options under a flexible jump diffusion model Operations Research Letters	2009-08-14	Paper

Research outcomes over time

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