Boda Kang : Citation Profile

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131

Citations

RESEARCH PRODUCTION:

1

Articles

10

Papers

RESEARCH ACTIVITY:

   5 years (2008 - 2013). See details.
   Cites by year: 26
   Journals where Boda Kang has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 4 (2.96 %)

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   Permalink: http://citec.repec.org/pka407
   Updated: 2021-10-16    RAS profile: 2014-06-13    
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Relations with other researchers

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:

Nikitopoulos-Sklibosios, Christina (14)

Ratti, Ronald (12)

Vespignani, Joaquin (12)

Schlogl, Erik (11)

Chiarella, Carl (5)

Itkin, Andrey (5)

GUPTA, RANGAN (3)

Roubaud, David (3)

Balcilar, Mehmet (3)

Fabozzi, Frank (3)

Bouri, Elie (3)

Cites to:

Chiarella, Carl (12)

Jarrow, Robert (4)

Fang, Fang (4)

Geske, Robert (4)

Oosterlee, Cornelis (4)

Singleton, Kenneth (4)

Scholes, Myron (3)

Duffie, Darrell (3)

merton, robert (3)

Jagannathan, Ravi (2)

Chernov, Mikhail (2)

Main data

Where Boda Kang has published?

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney10

Recent works citing Boda Kang (2021 and 2020)

YearTitle of citing document
2020A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics. (2020). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10194.

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2020Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics. (2020). Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10202.

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2021A 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.

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2021Modelling 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.

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2020Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects. (2020). Plastun, Alex ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8445.

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2020An iterative splitting method for pricing European options under the Heston model?. (2020). Huang, Zhongyi ; Li, Hongshan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:387:y:2020:i:c:s0096300320303854.

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2020Global commodity prices and global stock market volatility shocks: Effects across countries. (2020). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Journal of Asian Economics. RePEc:eee:asieco:v:71:y:2020:i:c:s1049007820301299.

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2021Pricing 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.

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2020Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827.

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2021Asymmetric 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.

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2021A front-fixing ETD numerical method for solving jump–diffusion American option pricing problems. (2021). Jodar, Lucas ; Egorova, Vera N ; Company, Rafael. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:189:y:2021:i:c:p:69-84.

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2021Volatility 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.

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2021Detecting lag linkage effect between economic policy uncertainty and crude oil price: A multi-scale perspective. (2021). Li, Xiuming ; Gao, Cuixia ; Sun, Mei ; He, Huizi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004192.

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2020Did China’s ICO ban alter the Bitcoin market?. (2020). Lin, Boqiang ; Okorie, David. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:977-993.

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2021Wind 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.

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2020Revising the Impact of Global Commodity Prices and Global Stock Market Volatility Shocks: Effects across Countries*. (2020). Vespignani, Joaquin ; Ratti, Ronald ; Bd, Ronald Ratti ; Kang, Wensheng . In: Working Papers. RePEc:hal:wpaper:hal-03071532.

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2020Option-Implied Intrahorizon Value at Risk. (2020). Leippold, Markus ; Vasiljevi, Nikola. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:397-414.

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2021Gold 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.

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2020Gold Prices Volatility among Major Events and During the Current COVID-19 Outbreak. (2020). Badkook, Roaa Osama ; Lamouchi, Rim Ammar. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:9:y:2020:i:4:f:9_4_4.

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2020Revising the impact of global commodity prices and global stock market volatility shocks: effects across countries. (2020). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Working Papers. RePEc:tas:wpaper:34827.

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2020Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits. (2020). Ziveyi, Jonathan ; Thirurajah, Samuel ; Sherris, Michael ; Garcia, Jennifer Alonso. In: ULB Institutional Repository. RePEc:ulb:ulbeco:2013/307889.

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2020Information Leakage in Energy Derivatives around News Announcements. (2020). Patel, Vinay ; Bohmann, Marc. In: Published Paper Series. RePEc:uts:ppaper:2020-2.

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Works by Boda Kang:

YearTitleTypeCited
2013Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics.
[Full Text][Citation analysis]		article22
2012Humps 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
2008The 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]		paper42
2008Pricing Financial Derivatives on Weather Sensitive Assets In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2009The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach In: Research Paper Series.
[Full Text][Citation analysis]		paper9
2009Modelling and Estimating the Forward Price Curve in the Energy Market In: Research Paper Series.
[Full Text][Citation analysis]		paper3
2010The Evaluation Of Barrier Option Prices Under Stochastic Volatility In: Research Paper Series.
[Full Text][Citation analysis]		paper19
2012Particle Filters for Markov Switching Stochastic Volatility Models In: Research Paper Series.
[Full Text][Citation analysis]		paper4
2012Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time In: Research Paper Series.
[Full Text][Citation analysis]		paper1
2013Investigating Time-Efficient Methods to Price Compound Options in the Heston Model In: Research Paper Series.
[Full Text][Citation analysis]		paper1
2013The Return-Volatility Relation in Commodity Futures Markets In: Research Paper Series.
[Full Text][Citation analysis]		paper30

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