Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Guanghua Lian"'
Publikováno v:
Journal of Management Science and Engineering, Vol 4, Iss 2, Pp 119-141 (2019)
In this study, we propose an efficient approach to the calculation of risk measures for an insurer's liability from writing a variable annuity with guaranteed benefits. Our approach is based on a novel application of the Hermite series expansions on
Externí odkaz:
https://doaj.org/article/035c538fc63242018ae246910faff825
Autor:
Taiguo Ning, Talante Juma, Xiangyu Cao, Qiwei Wang, Xin Yang, Hao Wang, Guanghua Liang, Xiaotong Bao, Zigang Ge, Tao Zhang, Yageng Li, Hua Tian, Yongping Cao
Publikováno v:
Journal of Materials Research and Technology, Vol 32, Iss , Pp 687-696 (2024)
The treatment of bone defects has always been a difficult problem in orthopedic clinical practice, and research on new materials is currently a hot topic. In this study, the biological safety and bone induction ability of a new magnesium-based amorph
Externí odkaz:
https://doaj.org/article/8af353d3fb604c308881428b91f7606a
Publikováno v:
Journal of Futures Markets. 42:983-1001
Refereed/Peer-reviewed This paper presents a numerical method to price American exchange options based on jump-diffusion processes. We first derive a closed-form expression for the value of European exchange options, then decompose the value function
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::828cfff911fcd85a1144676d2ea8d001
https://doi.org/10.1002/fut.22316
https://doi.org/10.1002/fut.22316
Publikováno v:
Complex & Intelligent Systems, Vol 10, Iss 4, Pp 5805-5830 (2024)
Abstract In recent years, there has been a significant increase in the design of neural network models for solving math word problems (MWPs). These neural solvers have been designed with various architectures and evaluated on diverse datasets, posing
Externí odkaz:
https://doaj.org/article/51c442a3644a473b8daa9276060828cb
Publikováno v:
Journal of Futures Markets. 39:1122-1136
This study considers the evolution of price discovery in the S&P 500 E-mini futures and the corresponding exchange traded fund (SPY ETF) over the period January 2002 through December 2013. The study reports evidence that the E-mini futures dominate p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::39ed0b32f3cc49c8b3d0ad4aeaaed3f6
https://doi.org/10.1002/fut.22019
https://doi.org/10.1002/fut.22019
Interval-valued time series has been attracting increasing interest. There have been fruitful results on mean models, but variance models largely remain unexploited. In this article, we propose a conditional heteroskedasticity model for the return in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cb96348878f2cd55977ee241b7e03840
https://eprints.soton.ac.uk/436478/
https://eprints.soton.ac.uk/436478/
Autor:
Song-Ping Zhu, Guanghua Lian
Publikováno v:
New Mathematics and Natural Computation. 14:383-401
Convexity correction is a well-known approximation technique used in pricing volatility swaps and VIX futures. However, the accuracy of the technique itself and the validity condition of this approximation have hardly been addressed and discussed in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a33ca00f2da7c1d0923bbd3aa10f1827
https://doi.org/10.1142/s1793005718500230
https://doi.org/10.1142/s1793005718500230
Publikováno v:
Journal of Banking & Finance. 75:167-183
Simple analytical solutions for the prices of discretely monitored barrier options do not yet exist in the literature. This paper presents a semi-analytical and fully explicit solution for pricing discretely monitored barrier options when the underly
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e41c70ea1ef11cdbf2ef84ce06835fed
https://doi.org/10.1016/j.jbankfin.2016.11.012
https://doi.org/10.1016/j.jbankfin.2016.11.012
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 451:180-189
In this paper, we introduce a robust numerical method, based on the upwind scheme, for the pricing of American puts under the generalized mixed fractional Brownian motion (GMFBM) model. By using portfolio analysis and applying the Wick-Itô formula,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::090cdcfd3116fe3c6db0390816d0be68
https://doi.org/10.1016/j.physa.2015.12.154
https://doi.org/10.1016/j.physa.2015.12.154
Autor:
Guanghua Lian, Song-Ping Zhu
Publikováno v:
Applied Mathematics and Computation. 250:920-933
In this paper, a general approach is presented to price forward-start variance swaps with discrete sampling times, based on the Heston (1993)'s two-factor stochastic volatility model. Using this approach we work out two analytical closed-form formula
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dc13443c1b75e1a9c13000547d561ad1
https://doi.org/10.1016/j.amc.2014.10.050
https://doi.org/10.1016/j.amc.2014.10.050