Boda Kang : Citation Profile


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139

Citations

RESEARCH PRODUCTION:

1

Articles

10

Papers

RESEARCH ACTIVITY:

   5 years (2008 - 2013). See details.
   Cites by year: 27
   Journals where Boda Kang has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 4 (2.8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pka407
   Updated: 2022-11-19    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)

Itkin, Andrey (5)

Chiarella, Carl (5)

Roubaud, David (3)

Bouri, Elie (3)

Fabozzi, Frank (3)

GUPTA, RANGAN (3)

Balcilar, Mehmet (3)

Cites to:

Chiarella, Carl (12)

Jarrow, Robert (5)

Oosterlee, Cornelis (4)

Geske, Robert (4)

Fang, Fang (4)

Singleton, Kenneth (4)

Scholes, Myron (3)

Baur, Dirk (3)

merton, robert (3)

Duffie, Darrell (3)

Wu, Guojun (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 (2022 and 2021)


YearTitle of citing document
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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2022Determining 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.

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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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2022Forecasting 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.

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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). 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.

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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). 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.

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2022On 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.

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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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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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2022Risk 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.

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2022Pricing 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.

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2022Perpetual 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.

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2022Optimal 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.

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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.
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article22
2012Humps in the Volatility Structure of the Crude Oil Futures Market.(2012) In: Research Paper Series.
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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.
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paper43
2008Pricing Financial Derivatives on Weather Sensitive Assets In: Research Paper Series.
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paper0
2009The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach In: Research Paper Series.
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paper11
2009Modelling and Estimating the Forward Price Curve in the Energy Market In: Research Paper Series.
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paper3
2010The Evaluation Of Barrier Option Prices Under Stochastic Volatility In: Research Paper Series.
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paper19
2012Particle Filters for Markov Switching Stochastic Volatility Models In: Research Paper Series.
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paper4
2012Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time In: Research Paper Series.
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paper1
2013Investigating Time-Efficient Methods to Price Compound Options in the Heston Model In: Research Paper Series.
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paper1
2013The Return-Volatility Relation in Commodity Futures Markets In: Research Paper Series.
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paper35

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