All Stories

  1. Pricing Fade-in Options Under GARCH-Jump Processes

    Article • Computational Economics, December 2023, Springer Science + Business Media

    Dr XINGCHUN WANG

  2. Valuation of vulnerable European options with market liquidity risk

    Article • Probability in the Engineering and Informational Sciences, December 2022, Cambridge University Press

    Dr XINGCHUN WANG

  3. Valuing basket-spread options with default risk under Hawkes jump-diffusion processes

    Article • European Journal of Finance, October 2022, Taylor & Francis

    Dr XINGCHUN WANG

  4. Pricing vulnerable options with stochastic liquidity risk

    Article • The North American Journal of Economics and Finance, April 2022, Elsevier

    Dr XINGCHUN WANG

  5. Valuing vulnerable Asian options with liquidity risk under Lévy processes

    Article • Probability in the Engineering and Informational Sciences, February 2022, Cambridge University Press

    Dr XINGCHUN WANG

  6. Pricing vulnerable options under correlated skew Brownian motions

    Article • Journal of Futures Markets, January 2022, Wiley

    Dr XINGCHUN WANG

  7. Exchange options for catastrophe risk management

    Article • The North American Journal of Economics and Finance, January 2022, Elsevier

    Dr XINGCHUN WANG

  8. Pricing basket spread options with default risk under Heston–Nandi GARCH models

    Article • The North American Journal of Economics and Finance, January 2022, Elsevier

    Dr XINGCHUN WANG

  9. Valuation of options on the maximum of two prices with default risk under GARCH models

    Article • The North American Journal of Economics and Finance, July 2021, Elsevier

    Dr XINGCHUN WANG

  10. Valuing fade-in options with default risk in Heston–Nandi GARCH models

    Article • Review of Derivatives Research, June 2021, Springer Science + Business Media

    Dr XINGCHUN WANG

  11. Pricing vulnerable options with jump risk and liquidity risk

    Article • Review of Derivatives Research, March 2021, Springer Science + Business Media

    Dr XINGCHUN WANG

  12. The values and incentive effects of options on the maximum or the minimum of the stock prices and market index

    Article • The North American Journal of Economics and Finance, January 2021, Elsevier

    Dr XINGCHUN WANG

  13. Valuing spread options with counterparty risk and jump risk

    Article • The North American Journal of Economics and Finance, November 2020, Elsevier

    Dr XINGCHUN WANG

  14. Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes

    Article • Review of Derivatives Research, June 2020, Springer Science + Business Media

    Dr XINGCHUN WANG

  15. On the Transition Density and First Hitting Time Distributions of the Doubly Skewed CIR Process

    Article • Methodology And Computing In Applied Probability, February 2020, Springer Science + Business Media

    Dr XINGCHUN WANG

  16. Analytical valuation of Asian options with counterparty risk under stochastic volatility models

    Article • Journal of Futures Markets, October 2019, Wiley

    Dr XINGCHUN WANG

  17. Pricing executive stock options with averaging features under the Heston–Nandi GARCH model

    Article • Journal of Futures Markets, August 2019, Wiley

    Dr XINGCHUN WANG

  18. Analytical valuation of power exchange options with default risk

    Article • Finance Research Letters, March 2019, Elsevier

    Dr XINGCHUN WANG

  19. Valuing executive stock options under correlated employment shocks

    Article • Finance Research Letters, December 2018, Elsevier

    Dr XINGCHUN WANG

  20. Long time behavior for stochastic Burgers equations with jump noises

    Article • Statistics & Probability Letters, October 2018, Elsevier

    Dr XINGCHUN WANG

  21. Pricing vulnerable options with stochastic volatility

    Article • Physica A Statistical Mechanics and its Applications, November 2017, Elsevier

    Dr XINGCHUN WANG

  22. Long time stability of nonlocal stochastic Kuramoto–Sivashinsky equations with jump noises

    Article • Statistics & Probability Letters, August 2017, Elsevier

    Dr XINGCHUN WANG

  23. PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION

    Article • Probability in the Engineering and Informational Sciences, January 2017, Cambridge University Press

    Dr XINGCHUN WANG

  24. PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES

    Article • Probability in the Engineering and Informational Sciences, December 2016, Cambridge University Press

    Dr XINGCHUN WANG

  25. Pricing power exchange options with correlated jump risk

    Article • Finance Research Letters, November 2016, Elsevier

    Dr XINGCHUN WANG

  26. Pricing vulnerable options with stochastic default barriers

    Article • Finance Research Letters, November 2016, Elsevier

    Dr XINGCHUN WANG

  27. Catastrophe equity put options with target variance

    Article • Insurance Mathematics and Economics, November 2016, Elsevier

    Dr XINGCHUN WANG

  28. ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK

    Article • Probability in the Engineering and Informational Sciences, September 2016, Cambridge University Press

    Dr XINGCHUN WANG

  29. The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk

    Article • Journal of Futures Markets, August 2016, Wiley

    Dr XINGCHUN WANG

  30. Differences in the Prices of Vulnerable Options with Different Counterparties

    Article • Journal of Futures Markets, May 2016, Wiley

    Dr XINGCHUN WANG

  31. The Pricing of Catastrophe Equity Put Options with Default Risk

    Article • International Review of Finance, January 2016, Wiley

    Dr XINGCHUN WANG

  32. Quadratic hedging strategies for volatility swaps

    Article • Finance Research Letters, November 2015, Elsevier

    Dr XINGCHUN WANG

  33. Long time behavior for nonlocal stochastic Kuramoto–Sivashinsky equations

    Article • Statistics & Probability Letters, April 2014, Elsevier

    Dr XINGCHUN WANG

  34. Hedging strategies for discretely monitored Asian options under Lévy processes

    Article • Journal of Industrial & Management Optimization, February 2014, American Institute of Mathematical Sciences (AIMS)

    Dr XINGCHUN WANG

  35. Variance-optimal hedging for target volatility options

    Article • Journal of Industrial & Management Optimization, October 2013, American Institute of Mathematical Sciences (AIMS)

    Dr XINGCHUN WANG

  36. Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing

    Article • Applied Mathematical Finance, June 2013, Taylor & Francis

    Dr XINGCHUN WANG

  37. Pricing Vulnerable Options with Correlated Credit Risk Under Jump-Diffusion Processes

    Article • Journal of Futures Markets, June 2013, Wiley

    Dr XINGCHUN WANG

  38. On a stochastic heat equation with first order fractional noises and applications to finance

    Article • Journal of Mathematical Analysis and Applications, December 2012, Elsevier

    Dr XINGCHUN WANG

  39. Credit spreads, endogenous bankruptcy and liquidity risk

    Article • Computational Management Science, September 2012, Springer Science + Business Media

    Dr XINGCHUN WANG

  40. Stochastic wave equation of pure jumps: Existence, uniqueness and invariant measures

    Article • Nonlinear Analysis, September 2012, Elsevier

    Dr XINGCHUN WANG