6
H index
3
i10 index
167
Citations
Xingchun Wang : Citation Profile
University of International Business and Economics (UIBE) | RESEARCH PRODUCTION: 51 Articles 1 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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13 years (2012 - 2025). 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:
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Main data
Where Xingchun Wang has published?
Recent works citing Xingchun Wang (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Song, Yuping ; Xu, Yang ; Zhang, Qichao ; Huang, Jiefei. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019. Full description at Econpapers || Download paper |
| 2024 | Analytical valuation of vulnerable chained options. (2024). Zhou, KE ; Zhang, Jiayi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001924. Full description at Econpapers || Download paper |
| 2024 | Pricing exchange options under stochastic correlation. (2024). Olivares, Pablo ; Villamor, Enrique. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824000780. Full description at Econpapers || Download paper |
| 2024 | Closed-form approximations for basket option pricing under normal tempered stable Lévy model. (2024). Zhong, Qifeng ; Yao, Jing ; Sayit, Hasanjan ; Hu, Dongdong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400158x. Full description at Econpapers || Download paper |
| 2025 | Pricing options on the maximum or the minimum of several assets with default risk. (2025). Zhou, KE ; Zhang, Jiayi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001979. Full description at Econpapers || Download paper |
| 2025 | Valuing catastrophe equity put options with liquidity risk, default risk and jumps. (2025). Zhang, Shu ; Chen, Peimin ; Tang, Chao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000051. Full description at Econpapers || Download paper |
| 2025 | Analytically pricing crude oil options under a jump-diffusion model with stochastic liquidity risk and convenience yield. (2025). He, Xin-Jiang ; Chen, Meiling ; Lin, Sha. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000646. Full description at Econpapers || Download paper |
| 2025 | A closed-form formula for pricing exchange options with regime switching stochastic volatility and stochastic liquidity. (2025). Lin, Sha ; Wei, Wenting ; He, Xin-Jiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002467. Full description at Econpapers || Download paper |
| 2024 | On practitioners closed-form GARCH option pricing. (2024). Frijns, Bart ; Mozumder, Sharif ; Kabir, Humayun M ; Talukdar, Bakhtear. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400228x. Full description at Econpapers || Download paper |
| 2024 | Can factor momentum beat momentum factor? Evidence from China. (2024). Zhang, Xuan ; Ouyang, Ruolan ; Zhu, Dongming. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000515. Full description at Econpapers || Download paper |
| 2024 | On the pricing of vulnerable Parisian options. (2024). Liu, Zheng ; Yao, Jing ; Qian, Linyi. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010250. Full description at Econpapers || Download paper |
| 2025 | Valuing options with hybrid default risk under the stochastic volatility model. (2025). Kim, Geonwoo ; Yun, Ana. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015502. Full description at Econpapers || Download paper |
| 2025 | From noise to signals: Investor attention as a catalyst for the momentum effect in the Chinese stock market. (2025). Wang, Gang-Jin ; Zhang, Zhi-Yu ; Xie, Chi ; Li, Xiao-Xin ; Zhu, You. In: Global Finance Journal. RePEc:eee:glofin:v:67:y:2025:i:c:s1044028325001024. Full description at Econpapers || Download paper |
| 2024 | The valuation of American options with the stochastic liquidity risk and jump risk. (2024). Guo, Xunxiang ; Huang, Shoude ; Wang, KE ; Zhang, Hongyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:650:y:2024:i:c:s0378437124004205. Full description at Econpapers || Download paper |
| 2025 | Vulnerable power exchange options with liquidity risk. (2025). Mittal, Priya ; Selvamuthu, Dharmaraja. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:672:y:2025:i:c:s0378437125002985. Full description at Econpapers || Download paper |
| 2024 | Vulnerable options with regime switching and stochastic liquidity. (2024). Lu, Tuantuan ; Lin, Sha ; He, Xin-Jiang ; Pasricha, Puneet. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001364. Full description at Econpapers || Download paper |
| 2025 | Pricing vulnerable options when debts have performance- sensitivity provisions. (2025). Hung, Mao-Wei ; Jiang, I-Ming ; Liu, Yu-Hong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025006471. Full description at Econpapers || Download paper |
| 2024 | A two-dimensional innovation activity factor and stock pricing: Evidence from the Chinese stock market. (2024). Lu, Zhao ; Meng, Qiaoran ; Wang, Guanying ; Liu, Dayong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:102-114. Full description at Econpapers || Download paper |
| 2024 | Analytical Valuation of Vulnerable Exchange Options with Stochastic Volatility in a Reduced-Form Model. (2024). Kim, Geonwoo ; Jeon, Junkee. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:24:p:3879-:d:1540475. Full description at Econpapers || Download paper |
| 2025 | Analytical Pricing Vulnerable Options with Stochastic Volatility in a Two-Factor Stochastic Interest Rate Model. (2025). Kim, Geonwoo ; Jeon, Junkee. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:15:p:2515-:d:1717760. Full description at Econpapers || Download paper |
| 2025 | Enhanced Calibration of Spread Option Simulation Pricing. (2025). Pirvu, Traian A ; Zhang, Shuming. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:7:p:140-:d:1706517. Full description at Econpapers || Download paper |
| 2025 | The Profitability and Arbitrage Efficiency of the Chicago Mercantile Exchange Nikkei 225 Futures. (2025). Qin, Jieye. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:32:y:2025:i:2:d:10.1007_s10690-024-09469-4. Full description at Econpapers || Download paper |
| 2025 | Pricing of Vulnerable Timer Options. (2025). Choi, Sun-Yong ; Kim, Donghyun ; Ha, Mijin ; Yoon, Ji-Hun. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:2:d:10.1007_s10614-023-10469-1. Full description at Econpapers || Download paper |
| 2025 | Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes. (2025). Tardelli, Paola ; Pasricha, Puneet ; Selvamuthu, Dharmaraja. In: OPSEARCH. RePEc:spr:opsear:v:62:y:2025:i:2:d:10.1007_s12597-024-00830-9. Full description at Econpapers || Download paper |
| 2025 | Spread Option Pricing Method Based on Nonparametric Predictive Inference Copula. (2025). He, Ting. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:5:p:1755-1766. Full description at Econpapers || Download paper |
| 2025 | Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion. (2025). Guo, Fenglong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:1:p:47-76. Full description at Econpapers || Download paper |
Works by Xingchun Wang:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 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 nother version. Agregated cites: 5 | article | |
| 2016 | The Pricing of Catastrophe Equity Put Options with Default Risk In: International Review of Finance. [Full Text][Citation analysis] | article | 6 |
| 2018 | Profitability of reversal strategies: A modified version of the Carhart model in China In: Economic Modelling. [Full Text][Citation analysis] | article | 15 |
| 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 | 2 |
| 2020 | Valuing spread options with counterparty risk and jump risk In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 3 |
| 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 | 1 |
| 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 | 4 |
| 2022 | Exchange options for catastrophe risk management In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 3 |
| 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 | 3 |
| 2022 | Pricing vulnerable options with stochastic liquidity risk In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 6 |
| 2024 | Pricing vulnerable spread options with liquidity risk under Lévy processes In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 2 |
| 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 | 3 |
| 2016 | Pricing power exchange options with correlated jump risk In: Finance Research Letters. [Full Text][Citation analysis] | article | 9 |
| 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 | 8 |
| 2019 | Valuation of catastrophe equity put options with correlated default risk and jump risk In: Finance Research Letters. [Full Text][Citation analysis] | article | 3 |
| 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 | 16 |
| 2019 | Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 1 |
| 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 | 5 |
| 2020 | Valuation of Asian options with default risk under GARCH models In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 3 |
| 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 |
| 2024 | Pricing Fade-in Options Under GARCH-Jump Processes In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2025 | Valuing Vulnerable Basket Options with Stochastic Liquidity Risk in Reduced-form Models In: Computational Economics. [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 | 4 |
| 2022 | Valuing fade-in options with default risk in Heston–Nandi GARCH models In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 1 |
| 2023 | Pricing vulnerable basket spread options with liquidity risk In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 4 |
| 2025 | Valuation of vulnerable options using a bivariate Gram–Charlier approximation In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 0 |
| 2012 | Credit spreads, endogenous bankruptcy and liquidity risk In: Computational Management Science. [Full Text][Citation analysis] | article | 0 |
| 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 | 1 |
| 2020 | Valuing vulnerable options with two underlying assets In: Applied Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2021 | Valuing vulnerable options with bond collateral In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2022 | Pricing options on the maximum of two average prices under stochastic volatility models In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2022 | Exchange options and spread options with stochastically correlated underlyings In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2022 | Pricing European basket warrants with default risk under stochastic volatility models In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 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 | 3 |
| 2023 | Valuing basket-spread options with default risk under Hawkes jump-diffusion processes In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2024 | Valuation of spread options under correlated skew Brownian motions In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 20 |
| 2017 | Differences in the Prices of Vulnerable Options with Different Counterparties In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 2 |
| 2017 | The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 9 |
| 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 | 6 |
| 2022 | Pricing vulnerable options under correlated skew Brownian motions In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 3 |
| 2025 | Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
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