Works matching AU Jr-Yan Wang
Results: 16
Structure of Spot Rates and Duration Hedging*.
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- Asia-Pacific Journal of Financial Studies, 2011, v. 40, n. 4, p. 550, doi. 10.1111/j.2041-6156.2011.01049.x
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- Article
Using forward Monte-Carlo simulation for the valuation of American barrier options.
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- Annals of Operations Research, 2018, v. 264, n. 1/2, p. 339, doi. 10.1007/s10479-017-2639-4
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- Article
A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model.
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- Journal of Futures Markets, 2022, v. 42, n. 12, p. 2103, doi. 10.1002/fut.22370
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- Article
Semistatic hedging and pricing American floating strike lookback options.
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- Journal of Futures Markets, 2019, v. 39, n. 4, p. 418, doi. 10.1002/fut.21986
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- Article
A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump‐diffusion‐ruin process.
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- Journal of Futures Markets, 2018, v. 38, n. 8, p. 898, doi. 10.1002/fut.21911
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- Article
Loss aversion and the term structure of interest rates.
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- Applied Economics, 2011, v. 43, n. 29, p. 4623, doi. 10.1080/00036846.2010.493139
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- Article
Variance Reduction for Multivariate Monte Carlo Simulation.
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- Journal of Derivatives, 2008, v. 16, n. 1, p. 7, doi. 10.3905/jod.2008.710895
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- Article
Pricing Convertible Bonds Subject to Default Risk.
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- Journal of Derivatives, 2002, v. 10, n. 2, p. 75, doi. 10.3905/jod.2002.319197
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- Article
Comment on "Aging Population, Retirement, and Risk Taking".
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- Management Science, 2020, v. 66, n. 6, p. 2792, doi. 10.1287/mnsc.2018.3052
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- Article
Asset Prices Under Prospect Theory and Habit Formation.
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- Review of Pacific Basin Financial Markets & Policies, 2005, v. 8, n. 1, p. 1, doi. 10.1142/S0219091505000324
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- Article
An Application of Damped Diffusion for Modeling Volatility Dynamics.
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- Journal of Financial Econometrics, 2023, v. 21, n. 3, p. 779, doi. 10.1093/jjfinec/nbab018
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- Article
Rainbow trend options: valuation and applications.
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- Review of Derivatives Research, 2017, v. 20, n. 2, p. 91, doi. 10.1007/s11147-016-9125-z
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- Article
Erratum to: The valuation of forward-start rainbow options.
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- 2015
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- Erratum
The valuation of forward-start rainbow options.
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- Review of Derivatives Research, 2015, v. 18, n. 2, p. 145, doi. 10.1007/s11147-014-9105-0
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- Article
A lattice model for option pricing under GARCH-jump processes.
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- Review of Derivatives Research, 2013, v. 16, n. 3, p. 295, doi. 10.1007/s11147-012-9087-8
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- Article
Adaptive placement method on pricing arithmetic average options.
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- Review of Derivatives Research, 2008, v. 11, n. 1/2, p. 83, doi. 10.1007/s11147-008-9025-y
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- Article