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Details about Xingchun Wang

E-mail:
Homepage:http://xchwang.ueuo.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 2020-03-31. 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

Journal Articles

2020

  1. Analytical valuation of Asian options with counterparty risk under stochastic volatility models
    Journal of Futures Markets, 2020, 40, (3), 410-429 Downloads

2019

  1. Analytical valuation of power exchange options with default risk
    Finance Research Letters, 2019, 28, (C), 265-274 Downloads View citations (2)
  2. Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
    Physica A: Statistical Mechanics and its Applications, 2019, 526, (C) Downloads
  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 (2)
  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 (1)
  5. Valuation of new-designed contracts for catastrophe risk management
    The North American Journal of Economics and Finance, 2019, 50, (C) Downloads

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 (2)
  3. Valuing executive stock options under correlated employment shocks
    Finance Research Letters, 2018, 27, (C), 38-45 Downloads View citations (1)

2017

  1. Differences in the Prices of Vulnerable Options with Different Counterparties
    Journal of Futures Markets, 2017, 37, (2), 148-163 Downloads View citations (2)
  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 (4)
  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 (4)

2016

  1. Catastrophe equity put options with target variance
    Insurance: Mathematics and Economics, 2016, 71, (C), 79-86 Downloads View citations (5)
  2. Pricing power exchange options with correlated jump risk
    Finance Research Letters, 2016, 19, (C), 90-97 Downloads View citations (3)
  3. Pricing vulnerable options with stochastic default barriers
    Finance Research Letters, 2016, 19, (C), 305-313 Downloads View citations (2)
  4. The Pricing of Catastrophe Equity Put Options with Default Risk
    International Review of Finance, 2016, 16, (2), 181-201 Downloads View citations (5)

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 (12)
  3. Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing
    Applied Mathematical Finance, 2014, 21, (1), 32-50 Downloads View citations (2)

2012

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