4
H index
2
i10 index
84
Citations
University of International Business and Economics (UIBE) | 4 H index 2 i10 index 84 Citations RESEARCH PRODUCTION: 38 Articles 1 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 Xingchun Wang. | Is cited by: | Cites to: |
Year | Title of citing document |
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2022 | Extraction of deterministic components for high frequency stochastic process -- an application from CSI 300 index. (2022). Sengupta, Indranil ; Zhou, Yan ; Sun, Baiqing ; Hui, Xianfei. In: Papers. RePEc:arx:papers:2204.02891. Full description at Econpapers || Download paper |
2021 | An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model. (2021). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s0960077920310328. Full description at Econpapers || Download paper |
2022 | Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate. (2022). Deng, Guohe ; Xie, Yurong. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:156:y:2022:i:c:s0960077922001072. Full description at Econpapers || Download paper |
2022 | Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump. (2022). Guo, Xunxiang ; Huang, Shoude. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:158:y:2022:i:c:s0960077922002132. Full description at Econpapers || Download paper |
2021 | Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219. Full description at Econpapers || Download paper |
2022 | Pricing European continuous-installment currency options with mean-reversion. (2022). Kim, Geonwoo ; Jeon, Junkee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002023. Full description at Econpapers || Download paper |
2022 | Pricing vulnerable options with stochastic liquidity risk. (2022). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940821002278. Full description at Econpapers || Download paper |
2022 | Approximate value adjustments for European claims. (2022). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:3:p:1149-1161. Full description at Econpapers || Download paper |
2021 | Does a designed financial system impact polluting firms’ employment? Evidence of an experimental economic policy. (2021). Zhang, Dongyang. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319312140. Full description at Econpapers || Download paper |
2022 | On pricing of vulnerable barrier options and vulnerable double barrier options. (2022). Zhou, KE ; Zhang, Jiayi ; Wang, Heqian. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001811. Full description at Econpapers || Download paper |
2021 | Option valuations and asset demands and supplies. (2021). Yang, Ya-Huei ; Lu, Jin-Ray . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:49-64. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2022 | Valuing fade-in options with default risk in Heston–Nandi GARCH models. (2022). Wang, Xingchun. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:1:d:10.1007_s11147-021-09179-3. Full description at Econpapers || Download paper |
2022 | Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods. (2022). Wu, Zhijian ; Ma, Chaoqun. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:1:d:10.1007_s11147-021-09181-9. Full description at Econpapers || Download paper |
2022 | Analytical pricing formulae for vulnerable vanilla and barrier options. (2022). Wang, Chuan-Ju ; Chiu, Chun-Yuan ; Liu, Liang-Chih ; Chang, Hao-Han ; Dai, Tian-Shyr. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:1:d:10.1007_s11156-021-00990-5. Full description at Econpapers || Download paper |
2021 | Forecasted E/P Ratio and ROE: Shanghai Stock Exchange (SSE), China. (2021). Arshad, Muhammad Usman. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:2:p:21582440211023189. Full description at Econpapers || Download paper |
2021 | CVA and vulnerable options pricing by correlation expansions. (2021). Scarlatti, S ; Ramponi, A ; Antonelli, F. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03367-z. Full description at Econpapers || Download paper |
2021 | Catastrophic risks and the pricing of catastrophe equity put options. (2021). Quaranta, Anna Grazia ; Bianchi, Michele Leonardo ; ARNONE, MASSIMO ; Tassinari, Gian Luca. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:2:d:10.1007_s10287-021-00391-y. Full description at Econpapers || Download paper |
2021 | Credit risk in derivative securities: A simplified approach. (2021). Baule, Rainer. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:641-657. Full description at Econpapers || Download paper |
2022 | Pricing vulnerable options under correlated skew Brownian motions. (2022). Wang, Xingchun ; Guo, Che. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:852-867. Full description at Econpapers || Download paper |
2022 | Power?type derivatives for rough volatility with jumps. (2022). Xia, Weixuan ; Wang, Liang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:7:p:1369-1406. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2020 | Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes In: Papers. [Full Text][Citation analysis] | paper | 3 |
2021 | Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes.(2021) In: Review of Derivatives Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2016 | The Pricing of Catastrophe Equity Put Options with Default Risk In: International Review of Finance. [Full Text][Citation analysis] | article | 4 |
2018 | Profitability of reversal strategies: A modified version of the Carhart model in China In: Economic Modelling. [Full Text][Citation analysis] | article | 8 |
2019 | Valuation of new-designed contracts for catastrophe risk management In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2020 | Catastrophe equity put options with floating strike prices In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
2020 | Valuing spread options with counterparty risk and jump risk In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
2021 | The values and incentive effects of options on the maximum or the minimum of the stock prices and market index In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2021 | Valuation of options on the maximum of two prices with default risk under GARCH models In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
2022 | Exchange options for catastrophe risk management In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2022 | Pricing basket spread options with default risk under Heston–Nandi GARCH models In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2015 | Quadratic hedging strategies for volatility swaps In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
2016 | Pricing vulnerable options with stochastic default barriers In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
2016 | Pricing power exchange options with correlated jump risk In: Finance Research Letters. [Full Text][Citation analysis] | article | 4 |
2018 | Valuing executive stock options under correlated employment shocks In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
2019 | Analytical valuation of power exchange options with default risk In: Finance Research Letters. [Full Text][Citation analysis] | article | 3 |
2019 | Valuation of catastrophe equity put options with correlated default risk and jump risk In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
2021 | Pricing volatility-equity options under the modified constant elasticity of variance model In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
2016 | Catastrophe equity put options with target variance In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
2017 | Pricing vulnerable options with stochastic volatility In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 11 |
2019 | Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 0 |
2020 | Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 2 |
2020 | Valuation of Asian options with default risk under GARCH models In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 1 |
2017 | Long time stability of nonlocal stochastic Kuramoto–Sivashinsky equations with jump noises In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
2018 | Long time behavior for stochastic Burgers equations with jump noises In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
2014 | Long time behavior for nonlocal stochastic Kuramoto–Sivashinsky equations In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
2021 | Pricing vulnerable options with jump risk and liquidity risk In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 2 |
2012 | Credit spreads, endogenous bankruptcy and liquidity risk In: Computational Management Science. [Full Text][Citation analysis] | article | 1 |
2021 | On the Transition Density and First Hitting Time Distributions of the Doubly Skewed CIR Process In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 0 |
2020 | Valuing vulnerable options with two underlying assets In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
2021 | Valuing vulnerable options with bond collateral In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
2022 | Pricing European basket warrants with default risk under stochastic volatility models In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
2014 | Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
2020 | The valuation of vulnerable European options with risky collateral In: The European Journal of Finance. [Full Text][Citation analysis] | article | 2 |
2014 | Pricing Vulnerable Options with Correlated Credit Risk Under Jump?Diffusion Processes In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 18 |
2017 | Differences in the Prices of Vulnerable Options with Different Counterparties In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 3 |
2017 | The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 5 |
2019 | Pricing executive stock options with averaging features under the Heston–Nandi GARCH model In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 1 |
2020 | Analytical valuation of Asian options with counterparty risk under stochastic volatility models In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 3 |
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