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Details about Xingchun Wang

E-mail:xchwangnk@aliyun.com
Workplace:School of International Trade and Economics (SITE), University of International Business and Economics (UIBE), (more information at EDIRC)

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

  1. Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
    Papers, arXiv.org Downloads 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) Downloads View citations (5) (2021)

Journal Articles

2025

  1. Valuation of vulnerable options using a bivariate Gram–Charlier approximation
    Review of Derivatives Research, 2025, 28, (1), 1-30 Downloads

2024

  1. Pricing Fade-in Options Under GARCH-Jump Processes
    Computational Economics, 2024, 64, (4), 2563-2584 Downloads
  2. Pricing vulnerable spread options with liquidity risk under Lévy processes
    The North American Journal of Economics and Finance, 2024, 72, (C) Downloads
  3. Valuation of spread options under correlated skew Brownian motions
    The European Journal of Finance, 2024, 30, (5), 503-523 Downloads

2023

  1. Pricing vulnerable basket spread options with liquidity risk
    Review of Derivatives Research, 2023, 26, (1), 23-50 Downloads View citations (1)
  2. Valuing basket-spread options with default risk under Hawkes jump-diffusion processes
    The European Journal of Finance, 2023, 29, (12), 1406-1431 Downloads View citations (1)

2022

  1. Exchange options and spread options with stochastically correlated underlyings
    Applied Economics Letters, 2022, 29, (12), 1060-1068 Downloads
  2. Exchange options for catastrophe risk management
    The North American Journal of Economics and Finance, 2022, 59, (C) Downloads View citations (2)
  3. Pricing European basket warrants with default risk under stochastic volatility models
    Applied Economics Letters, 2022, 29, (3), 253-260 Downloads View citations (3)
  4. Pricing basket spread options with default risk under Heston–Nandi GARCH models
    The North American Journal of Economics and Finance, 2022, 59, (C) Downloads View citations (5)
  5. Pricing options on the maximum of two average prices under stochastic volatility models
    Applied Economics Letters, 2022, 29, (10), 887-894 Downloads
  6. Pricing vulnerable options under correlated skew Brownian motions
    Journal of Futures Markets, 2022, 42, (5), 852-867 Downloads View citations (2)
  7. Pricing vulnerable options with stochastic liquidity risk
    The North American Journal of Economics and Finance, 2022, 60, (C) Downloads View citations (4)
  8. Valuing fade-in options with default risk in Heston–Nandi GARCH models
    Review of Derivatives Research, 2022, 25, (1), 1-22 Downloads View citations (1)

2021

  1. 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 Downloads View citations (1)
  2. Pricing volatility-equity options under the modified constant elasticity of variance model
    Finance Research Letters, 2021, 38, (C) Downloads
  3. Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes
    Review of Derivatives Research, 2021, 24, (1), 1-30 Downloads View citations (5)
    See also Working Paper Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes, Papers (2020) Downloads View citations (2) (2020)
  4. Pricing vulnerable options with jump risk and liquidity risk
    Review of Derivatives Research, 2021, 24, (3), 243-260 Downloads View citations (5)
  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) Downloads View citations (2)
  6. 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) Downloads View citations (6)
  7. Valuing vulnerable options with bond collateral
    Applied Economics Letters, 2021, 28, (2), 115-118 Downloads View citations (1)

2020

  1. Analytical valuation of Asian options with counterparty risk under stochastic volatility models
    Journal of Futures Markets, 2020, 40, (3), 410-429 Downloads View citations (8)
  2. Catastrophe equity put options with floating strike prices
    The North American Journal of Economics and Finance, 2020, 54, (C) Downloads View citations (2)
  3. Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes
    International Review of Economics & Finance, 2020, 70, (C), 16-26 Downloads View citations (4)
  4. The valuation of vulnerable European options with risky collateral
    The European Journal of Finance, 2020, 26, (13), 1315-1331 Downloads View citations (4)
  5. Valuation of Asian options with default risk under GARCH models
    International Review of Economics & Finance, 2020, 70, (C), 27-40 Downloads View citations (6)
  6. Valuing spread options with counterparty risk and jump risk
    The North American Journal of Economics and Finance, 2020, 54, (C) Downloads View citations (6)
  7. Valuing vulnerable options with two underlying assets
    Applied Economics Letters, 2020, 27, (21), 1699-1706 Downloads View citations (3)

2019

  1. Analytical valuation of power exchange options with default risk
    Finance Research Letters, 2019, 28, (C), 265-274 Downloads View citations (8)
  2. Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
    Physica A: Statistical Mechanics and its Applications, 2019, 526, (C) Downloads View citations (3)
  3. Pricing executive stock options with averaging features under the Heston–Nandi GARCH model
    Journal of Futures Markets, 2019, 39, (9), 1056-1084 Downloads View citations (8)
  4. Valuation of catastrophe equity put options with correlated default risk and jump risk
    Finance Research Letters, 2019, 29, (C), 323-329 Downloads View citations (4)
  5. Valuation of new-designed contracts for catastrophe risk management
    The North American Journal of Economics and Finance, 2019, 50, (C) Downloads View citations (2)

2018

  1. Long time behavior for stochastic Burgers equations with jump noises
    Statistics & Probability Letters, 2018, 141, (C), 41-49 Downloads
  2. Profitability of reversal strategies: A modified version of the Carhart model in China
    Economic Modelling, 2018, 69, (C), 26-37 Downloads View citations (13)
  3. Valuing executive stock options under correlated employment shocks
    Finance Research Letters, 2018, 27, (C), 38-45 Downloads View citations (4)

2017

  1. Differences in the Prices of Vulnerable Options with Different Counterparties
    Journal of Futures Markets, 2017, 37, (2), 148-163 Downloads View citations (11)
  2. Long time stability of nonlocal stochastic Kuramoto–Sivashinsky equations with jump noises
    Statistics & Probability Letters, 2017, 127, (C), 23-32 Downloads
  3. Pricing vulnerable options with stochastic volatility
    Physica A: Statistical Mechanics and its Applications, 2017, 485, (C), 91-103 Downloads View citations (22)
  4. The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk
    Journal of Futures Markets, 2017, 37, (5), 499-521 Downloads View citations (15)

2016

  1. Catastrophe equity put options with target variance
    Insurance: Mathematics and Economics, 2016, 71, (C), 79-86 Downloads View citations (9)
  2. Pricing power exchange options with correlated jump risk
    Finance Research Letters, 2016, 19, (C), 90-97 Downloads View citations (10)
  3. Pricing vulnerable options with stochastic default barriers
    Finance Research Letters, 2016, 19, (C), 305-313 Downloads View citations (8)
  4. The Pricing of Catastrophe Equity Put Options with Default Risk
    International Review of Finance, 2016, 16, (2), 181-201 Downloads View citations (11)

2015

  1. Quadratic hedging strategies for volatility swaps
    Finance Research Letters, 2015, 15, (C), 125-132 Downloads

2014

  1. Long time behavior for nonlocal stochastic Kuramoto–Sivashinsky equations
    Statistics & Probability Letters, 2014, 87, (C), 54-60 Downloads View citations (2)
  2. Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes
    Journal of Futures Markets, 2014, 34, (10), 957-979 Downloads View citations (36)
  3. Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing
    Applied Mathematical Finance, 2014, 21, (1), 32-50 Downloads View citations (3)

2012

  1. Credit spreads, endogenous bankruptcy and liquidity risk
    Computational Management Science, 2012, 9, (4), 515-530 Downloads View citations (2)
 
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