Xingchun Wang : Citation Profile


Are you Xingchun Wang?

University of International Business and Economics (UIBE)

4

H index

2

i10 index

84

Citations

RESEARCH PRODUCTION:

38

Articles

1

Papers

RESEARCH ACTIVITY:

   10 years (2012 - 2022). See details.
   Cites by year: 8
   Journals where Xingchun Wang has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 22 (20.75 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwa592
   Updated: 2022-08-06    RAS profile: 2022-02-25    
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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 Xingchun Wang.

Is cited by:

Burnecki, Krzysztof (4)

Ramponi, Alessandro (3)

Sorokina, Alla (1)

Qian, Zongxin (1)

Wang, Yudong (1)

Cites to:

Chen, Zhiwu (21)

Cao, Charles (21)

Yu, Min-Teh (19)

Christoffersen, Peter (16)

Stulz, René (15)

Tian, Lihui (13)

Leland, Hayne (13)

merton, robert (12)

Dittmann, Ingolf (8)

Bollerslev, Tim (6)

Klein, Peter (6)

Main data


Where Xingchun Wang has published?


Journals with more than one article published# docs
Finance Research Letters7
The North American Journal of Economics and Finance7
Journal of Futures Markets5
Statistics & Probability Letters3
Applied Economics Letters3
International Review of Economics & Finance2
Review of Derivatives Research2
Physica A: Statistical Mechanics and its Applications2

Recent works citing Xingchun Wang (2022 and 2021)


YearTitle of citing document
2022Extraction 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.

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2021An 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.

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2022Vulnerable 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.

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2022Valuation 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.

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2021Intraday 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.

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2022Pricing 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.

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2022Pricing 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.

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2022Approximate 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.

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2021Does 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.

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2022On 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.

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2021Option 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.

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2022.

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2021.

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2022Valuing 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.

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2022Pricing 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.

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2022Analytical 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.

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2021Forecasted 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.

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2021CVA 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.

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2021Catastrophic 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.

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2021Credit 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.

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2022Pricing 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.

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2022Power?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.

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Works by Xingchun Wang:


YearTitleTypeCited
2020Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes In: Papers.
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2021Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes.(2021) In: Review of Derivatives Research.
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2016The Pricing of Catastrophe Equity Put Options with Default Risk In: International Review of Finance.
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2018Profitability of reversal strategies: A modified version of the Carhart model in China In: Economic Modelling.
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2019Valuation of new-designed contracts for catastrophe risk management In: The North American Journal of Economics and Finance.
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2020Catastrophe equity put options with floating strike prices In: The North American Journal of Economics and Finance.
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2020Valuing spread options with counterparty risk and jump risk In: The North American Journal of Economics and Finance.
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article1
2021The 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.
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article0
2021Valuation of options on the maximum of two prices with default risk under GARCH models In: The North American Journal of Economics and Finance.
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article1
2022Exchange options for catastrophe risk management In: The North American Journal of Economics and Finance.
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article0
2022Pricing basket spread options with default risk under Heston–Nandi GARCH models In: The North American Journal of Economics and Finance.
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article0
2015Quadratic hedging strategies for volatility swaps In: Finance Research Letters.
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2016Pricing vulnerable options with stochastic default barriers In: Finance Research Letters.
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article1
2016Pricing power exchange options with correlated jump risk In: Finance Research Letters.
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article4
2018Valuing executive stock options under correlated employment shocks In: Finance Research Letters.
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article2
2019Analytical valuation of power exchange options with default risk In: Finance Research Letters.
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article3
2019Valuation of catastrophe equity put options with correlated default risk and jump risk In: Finance Research Letters.
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article1
2021Pricing volatility-equity options under the modified constant elasticity of variance model In: Finance Research Letters.
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article0
2016Catastrophe equity put options with target variance In: Insurance: Mathematics and Economics.
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article4
2017Pricing vulnerable options with stochastic volatility In: Physica A: Statistical Mechanics and its Applications.
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2019Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity In: Physica A: Statistical Mechanics and its Applications.
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article0
2020Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes In: International Review of Economics & Finance.
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article2
2020Valuation of Asian options with default risk under GARCH models In: International Review of Economics & Finance.
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article1
2017Long time stability of nonlocal stochastic Kuramoto–Sivashinsky equations with jump noises In: Statistics & Probability Letters.
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2018Long time behavior for stochastic Burgers equations with jump noises In: Statistics & Probability Letters.
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2014Long time behavior for nonlocal stochastic Kuramoto–Sivashinsky equations In: Statistics & Probability Letters.
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2021Pricing vulnerable options with jump risk and liquidity risk In: Review of Derivatives Research.
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2012Credit spreads, endogenous bankruptcy and liquidity risk In: Computational Management Science.
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2021On the Transition Density and First Hitting Time Distributions of the Doubly Skewed CIR Process In: Methodology and Computing in Applied Probability.
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2020Valuing vulnerable options with two underlying assets In: Applied Economics Letters.
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2021Valuing vulnerable options with bond collateral In: Applied Economics Letters.
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2022Pricing European basket warrants with default risk under stochastic volatility models In: Applied Economics Letters.
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2014Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing In: Applied Mathematical Finance.
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2020The valuation of vulnerable European options with risky collateral In: The European Journal of Finance.
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2014Pricing Vulnerable Options with Correlated Credit Risk Under Jump?Diffusion Processes In: Journal of Futures Markets.
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2017Differences in the Prices of Vulnerable Options with Different Counterparties In: Journal of Futures Markets.
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2017The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk In: Journal of Futures Markets.
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2019Pricing executive stock options with averaging features under the Heston–Nandi GARCH model In: Journal of Futures Markets.
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2020Analytical valuation of Asian options with counterparty risk under stochastic volatility models In: Journal of Futures Markets.
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