5
H index
5
i10 index
139
Citations
| 5 H index 5 i10 index 139 Citations RESEARCH PRODUCTION: 1 Articles 10 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Boda Kang. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 10 |
Year | Title of citing document |
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2021 | A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics. (2021). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2106.07362. Full description at Econpapers || Download paper |
2021 | Modelling risk for commodities in Brazil: An application to live cattle spot and futures prices. (2021). J. A. C. Santos, ; Eg, A D ; Bernardino, W ; Alcoforado, R G. In: Papers. RePEc:arx:papers:2107.07556. Full description at Econpapers || Download paper |
2022 | Determining hedges and safe havens for stocks using interval analysis. (2022). Hsueh, Shao-Chieh ; Liu, Yilei ; Ju, Peijie ; Chang, Meng-Shiuh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274. Full description at Econpapers || Download paper |
2021 | Pricing discretely-monitored double barrier options with small probabilities of execution. (2021). Zuev, Konstantin M ; Pantelous, Athanasios A ; Mendonca, Keegan ; Kontosakos, Vasileios E. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:313-330. Full description at Econpapers || Download paper |
2022 | Forecasting crude oil volatility with exogenous predictors: As good as it GETS?. (2022). Bonnier, Jean-Baptiste. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002249. Full description at Econpapers || Download paper |
2021 | Asymmetric volatility in commodity markets. (2021). Mu, Xiaoyi ; Chen, Yu-Fu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300167. Full description at Econpapers || Download paper |
2021 | A front-fixing ETD numerical method for solving jump–diffusion American option pricing problems. (2021). Egorova, Vera N ; Company, Rafael ; Jodar, Lucas. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:189:y:2021:i:c:p:69-84. Full description at Econpapers || Download paper |
2021 | Volatility regime, inverted asymmetry, contagion, and flights in the gold market. (2021). Tian, Yuan ; Chen, Meng-Wei ; Kung, Chih-Chun ; Chang, Meng-Shiuh. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000299. Full description at Econpapers || Download paper |
2021 | Detecting lag linkage effect between economic policy uncertainty and crude oil price: A multi-scale perspective. (2021). Sun, Mei ; He, Huizi ; Li, Xiuming ; Gao, Cuixia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004192. Full description at Econpapers || Download paper |
2022 | On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis. (2022). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003727. Full description at Econpapers || Download paper |
2021 | Wind Put Barrier Options Pricing Based on the Nordix Index. (2021). Contreras, Javier ; Perez-Uribe, Miguel A ; Rodriguez, Yeny E. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:4:p:1177-:d:504014. Full description at Econpapers || Download paper |
2021 | Gold and oil prices: abnormal returns, momentum and contrarian effects. (2021). Plastun, Alex ; Caporale, Guglielmo Maria. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:3:d:10.1007_s11408-021-00380-w. Full description at Econpapers || Download paper |
2022 | Risk premia in the term structure of crude oil futures: long-run and short-run volatility components. (2022). Liu, Rui ; Boyd, Naomi. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01032-w. Full description at Econpapers || Download paper |
2022 | Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. (2022). Westgaard, Sjur ; Ouyang, Ruolan ; Ewald, Christian ; Chen, Jilong ; Xiao, Xiaoxia. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04198-7. Full description at Econpapers || Download paper |
2022 | Perpetual American Double Lookback Options on Drawdowns and Drawups with Floating Strikes. (2022). Gapeev, Pavel V. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09917-y. Full description at Econpapers || Download paper |
2022 | Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions. (2022). Kort, Peter ; Lavrutich, Maria N ; Gapeev, Pavel V. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-022-09959-w. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2013 | Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics. [Full Text][Citation analysis] | article | 22 |
2012 | Humps in the Volatility Structure of the Crude Oil Futures Market.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2008 | The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 43 |
2008 | Pricing Financial Derivatives on Weather Sensitive Assets In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2009 | The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach In: Research Paper Series. [Full Text][Citation analysis] | paper | 11 |
2009 | Modelling and Estimating the Forward Price Curve in the Energy Market In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2010 | The Evaluation Of Barrier Option Prices Under Stochastic Volatility In: Research Paper Series. [Full Text][Citation analysis] | paper | 19 |
2012 | Particle Filters for Markov Switching Stochastic Volatility Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2012 | Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2013 | Investigating Time-Efficient Methods to Price Compound Options in the Heston Model In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2013 | The Return-Volatility Relation in Commodity Futures Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 35 |
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