Details about Jiling Cao

Access statistics for papers by Jiling Cao.

Last updated 2021-10-22. Update your information in the RePEc Author Service.

Short-id: pca805

Working Papers

2020

1. Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure
   Papers, arXiv.org View citations (3)

2017

2. Ex-post core, fine core and rational expectations equilibrium allocations
   Papers, arXiv.org
   See also Journal Article in Journal of Mathematical Economics (2018)

2016

3. Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
   Papers, arXiv.org
   See also Journal Article in Methodology and Computing in Applied Probability (2018)

2015

4. Rational Expectations Equilibria: Existence and Representation
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article in Economic Theory Bulletin (2016)

2013

5. Strategic real options with stochastic volatility in a duopoly model
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article in Chaos, Solitons & Fractals (2014)

2011

6. Infinite dimensional mixed economies with asymmetric information
   MPRA Paper, University Library of Munich, Germany
7. On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article in Economic Theory (2013)

Journal Articles

2021

1. Specification analysis of VXX option pricing models under Lévy processes
   Journal of Futures Markets, 2021, 41, (9), 1456-1477 View citations (1)

2020

2. Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices
   Journal of Futures Markets, 2020, 40, (6), 945-973 View citations (6)
3. Monetary policy and financial economic growth
   The Journal of Economic Asymmetries, 2020, 22, (C) View citations (3)
4. Pricing VIX derivatives with infinite‐activity jumps
   Journal of Futures Markets, 2020, 40, (3), 329-354 View citations (5)
5. Rough stochastic elasticity of variance and option pricing
   Finance Research Letters, 2020, 37, (C) View citations (2)

2018

6. Ex-post core, fine core and rational expectations equilibrium allocations
   Journal of Mathematical Economics, 2018, 74, (C), 128-138
   See also Working Paper (2017)
7. Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching
   Methodology and Computing in Applied Probability, 2018, 20, (4), 1359-1379 View citations (2)
   See also Working Paper (2016)

2016

8. Pricing variance swaps under stochastic volatility and stochastic interest rate
   Applied Mathematics and Computation, 2016, 277, (C), 72-81 View citations (12)
9. Rational expectations equilibria: existence and representation
   Economic Theory Bulletin, 2016, 4, (2), 367-386 View citations (4)
   See also Working Paper (2015)

2014

10. Strategic real options with stochastic volatility in a duopoly model
    Chaos, Solitons & Fractals, 2014, 58, (C), 40-51 View citations (1)
    See also Working Paper (2013)

2013

11. On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces
    Economic Theory, 2013, 53, (3), 537-560 View citations (14)
    See also Working Paper (2011)
12. Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market
    Discrete Dynamics in Nature and Society, 2013, 2013, 1-12
13. Robust efficiency in mixed economies with asymmetric information
    Journal of Mathematical Economics, 2013, 49, (1), 49-57 View citations (17)

2012

14. Blocking efficiency in an economy with asymmetric information
    Journal of Mathematical Economics, 2012, 48, (6), 396-403 View citations (20)