Details about Xingchun Wang
Access statistics for papers by Xingchun Wang.
Last updated 2025-02-07. Update your information in the RePEc Author Service.
Short-id: pwa592
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Working Papers
2020
- Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Papers, arXiv.org View citations (2)
See also Journal Article Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes, Review of Derivatives Research, Springer (2021) View citations (5) (2021)
Journal Articles
2025
- Valuation of vulnerable options using a bivariate Gram–Charlier approximation
Review of Derivatives Research, 2025, 28, (1), 1-30
2024
- Pricing Fade-in Options Under GARCH-Jump Processes
Computational Economics, 2024, 64, (4), 2563-2584
- Pricing vulnerable spread options with liquidity risk under Lévy processes
The North American Journal of Economics and Finance, 2024, 72, (C)
- Valuation of spread options under correlated skew Brownian motions
The European Journal of Finance, 2024, 30, (5), 503-523
2023
- Pricing vulnerable basket spread options with liquidity risk
Review of Derivatives Research, 2023, 26, (1), 23-50 View citations (1)
- Valuing basket-spread options with default risk under Hawkes jump-diffusion processes
The European Journal of Finance, 2023, 29, (12), 1406-1431 View citations (1)
2022
- Exchange options and spread options with stochastically correlated underlyings
Applied Economics Letters, 2022, 29, (12), 1060-1068
- Exchange options for catastrophe risk management
The North American Journal of Economics and Finance, 2022, 59, (C) View citations (2)
- Pricing European basket warrants with default risk under stochastic volatility models
Applied Economics Letters, 2022, 29, (3), 253-260 View citations (3)
- Pricing basket spread options with default risk under Heston–Nandi GARCH models
The North American Journal of Economics and Finance, 2022, 59, (C) View citations (5)
- Pricing options on the maximum of two average prices under stochastic volatility models
Applied Economics Letters, 2022, 29, (10), 887-894
- Pricing vulnerable options under correlated skew Brownian motions
Journal of Futures Markets, 2022, 42, (5), 852-867 View citations (2)
- Pricing vulnerable options with stochastic liquidity risk
The North American Journal of Economics and Finance, 2022, 60, (C) View citations (4)
- Valuing fade-in options with default risk in Heston–Nandi GARCH models
Review of Derivatives Research, 2022, 25, (1), 1-22 View citations (1)
2021
- On the Transition Density and First Hitting Time Distributions of the Doubly Skewed CIR Process
Methodology and Computing in Applied Probability, 2021, 23, (3), 735-752 View citations (1)
- Pricing volatility-equity options under the modified constant elasticity of variance model
Finance Research Letters, 2021, 38, (C)
- Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes
Review of Derivatives Research, 2021, 24, (1), 1-30 View citations (5)
See also Working Paper Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes, Papers (2020) View citations (2) (2020)
- Pricing vulnerable options with jump risk and liquidity risk
Review of Derivatives Research, 2021, 24, (3), 243-260 View citations (5)
- The values and incentive effects of options on the maximum or the minimum of the stock prices and market index
The North American Journal of Economics and Finance, 2021, 55, (C) View citations (2)
- Valuation of options on the maximum of two prices with default risk under GARCH models
The North American Journal of Economics and Finance, 2021, 57, (C) View citations (6)
- Valuing vulnerable options with bond collateral
Applied Economics Letters, 2021, 28, (2), 115-118 View citations (1)
2020
- Analytical valuation of Asian options with counterparty risk under stochastic volatility models
Journal of Futures Markets, 2020, 40, (3), 410-429 View citations (8)
- Catastrophe equity put options with floating strike prices
The North American Journal of Economics and Finance, 2020, 54, (C) View citations (2)
- Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes
International Review of Economics & Finance, 2020, 70, (C), 16-26 View citations (4)
- The valuation of vulnerable European options with risky collateral
The European Journal of Finance, 2020, 26, (13), 1315-1331 View citations (4)
- Valuation of Asian options with default risk under GARCH models
International Review of Economics & Finance, 2020, 70, (C), 27-40 View citations (6)
- Valuing spread options with counterparty risk and jump risk
The North American Journal of Economics and Finance, 2020, 54, (C) View citations (6)
- Valuing vulnerable options with two underlying assets
Applied Economics Letters, 2020, 27, (21), 1699-1706 View citations (3)
2019
- Analytical valuation of power exchange options with default risk
Finance Research Letters, 2019, 28, (C), 265-274 View citations (8)
- Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
Physica A: Statistical Mechanics and its Applications, 2019, 526, (C) View citations (3)
- Pricing executive stock options with averaging features under the Heston–Nandi GARCH model
Journal of Futures Markets, 2019, 39, (9), 1056-1084 View citations (8)
- Valuation of catastrophe equity put options with correlated default risk and jump risk
Finance Research Letters, 2019, 29, (C), 323-329 View citations (4)
- Valuation of new-designed contracts for catastrophe risk management
The North American Journal of Economics and Finance, 2019, 50, (C) View citations (2)
2018
- Long time behavior for stochastic Burgers equations with jump noises
Statistics & Probability Letters, 2018, 141, (C), 41-49
- Profitability of reversal strategies: A modified version of the Carhart model in China
Economic Modelling, 2018, 69, (C), 26-37 View citations (13)
- Valuing executive stock options under correlated employment shocks
Finance Research Letters, 2018, 27, (C), 38-45 View citations (4)
2017
- Differences in the Prices of Vulnerable Options with Different Counterparties
Journal of Futures Markets, 2017, 37, (2), 148-163 View citations (11)
- Long time stability of nonlocal stochastic Kuramoto–Sivashinsky equations with jump noises
Statistics & Probability Letters, 2017, 127, (C), 23-32
- Pricing vulnerable options with stochastic volatility
Physica A: Statistical Mechanics and its Applications, 2017, 485, (C), 91-103 View citations (22)
- The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk
Journal of Futures Markets, 2017, 37, (5), 499-521 View citations (15)
2016
- Catastrophe equity put options with target variance
Insurance: Mathematics and Economics, 2016, 71, (C), 79-86 View citations (9)
- Pricing power exchange options with correlated jump risk
Finance Research Letters, 2016, 19, (C), 90-97 View citations (10)
- Pricing vulnerable options with stochastic default barriers
Finance Research Letters, 2016, 19, (C), 305-313 View citations (8)
- The Pricing of Catastrophe Equity Put Options with Default Risk
International Review of Finance, 2016, 16, (2), 181-201 View citations (11)
2015
- Quadratic hedging strategies for volatility swaps
Finance Research Letters, 2015, 15, (C), 125-132
2014
- Long time behavior for nonlocal stochastic Kuramoto–Sivashinsky equations
Statistics & Probability Letters, 2014, 87, (C), 54-60 View citations (2)
- Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes
Journal of Futures Markets, 2014, 34, (10), 957-979 View citations (36)
- Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing
Applied Mathematical Finance, 2014, 21, (1), 32-50 View citations (3)
2012
- Credit spreads, endogenous bankruptcy and liquidity risk
Computational Management Science, 2012, 9, (4), 515-530 View citations (2)
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