Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Ben-zhang Yang"'
Publikováno v:
Optimization. :1-35
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2608ea36853ee7be6ea33d0164572467
https://doi.org/10.1080/02331934.2022.2060829
https://doi.org/10.1080/02331934.2022.2060829
Publikováno v:
Journal of Industrial & Management Optimization; Apr2023, Vol. 19 Issue 4, p2704-2741, 38p
Publikováno v:
Journal of Optimization Theory and Applications. 186:264-298
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without derivative tradi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::20d0e6fb56ceebaf9fdbdfdf564e628f
https://doi.org/10.1007/s10957-020-01687-w
https://doi.org/10.1007/s10957-020-01687-w
In this paper, we consider a dynamic asset pricing model in a cross-sectional economy with two firms where a controlling shareholder cannot divert output in one firm with perfect investor protection for minority shareholders and where he can divert a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e5249c7c9f7fa64ce1598f62a62ceff3
http://arxiv.org/abs/2110.05110
http://arxiv.org/abs/2110.05110
Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach
Publikováno v:
Chaos, Solitons & Fractals. 163:112581
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::32b0b5af70061b8e11189c42f0fdbdc0
https://doi.org/10.1016/j.chaos.2022.112581
https://doi.org/10.1016/j.chaos.2022.112581
A generalized real option pricing method of R&D investments: jump diffusion and external competition
Publikováno v:
Journal of Difference Equations and Applications. 25:1438-1453
Numerous studies have assessed Research and Development (R&D) investment using the real option pricing approach. This paper proposes a more general real option pricing method that both cons...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::84f0550267fb3e8c0ea00de30e60c753
https://doi.org/10.1080/10236198.2019.1661394
https://doi.org/10.1080/10236198.2019.1661394
Publikováno v:
Applied Mathematics and Computation. 355:73-84
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation is obtain
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a5110ee2d5843861ba711b3c06ebe2c7
https://doi.org/10.1016/j.amc.2019.02.063
https://doi.org/10.1016/j.amc.2019.02.063
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the equilibrium condi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c369e3a7228f6d4cd9dc25513a3c1a79
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 566:125679
This paper focuses on the variance and volatility swaps pricing in the framework of a liquidity-adjusted underlying assets model. The pricing formulas of discretely-sampled variance and volatility swaps are obtained under the stochastic liquidity ris
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::94c7d2bd1239a8994a89a296c312a309
https://doi.org/10.1016/j.physa.2020.125679
https://doi.org/10.1016/j.physa.2020.125679
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 532:121871
In this paper, the pricing of foreign exchange (FX) options is studied under the Moretto–Pasquali–Trivellato (MPT) stochastic volatility model by introducing an approximative fractional stochastic volatility and jumps, in which the FX rate has lo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::493b2760c07f568fda41ab2872a4ecf0
https://doi.org/10.1016/j.physa.2019.121871
https://doi.org/10.1016/j.physa.2019.121871