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Details about Xiangwei Wan

Workplace:Antai College of Economics and Management, Shanghai Jiao Tong University, (more information at EDIRC)

Access statistics for papers by Xiangwei Wan.

Last updated 2024-12-08. Update your information in the RePEc Author Service.

Short-id: pwa615

Jump to Journal Articles

Working Papers

2024

  1. Enhancing Black-Scholes Delta Hedging via Deep Learning
    Papers, arXiv.org Downloads

Journal Articles

2022

  1. Nonconcave Utility Maximization with Portfolio Bounds
    Management Science, 2022, 68, (11), 8368-8385 Downloads View citations (4)

2021

  1. Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
    Journal of Economic Dynamics and Control, 2021, 125, (C) Downloads View citations (5)

2019

  1. A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
    Journal of Econometrics, 2019, 209, (2), 256-288 Downloads View citations (9)

2018

  1. The survival probability of the SABR model: asymptotics and application
    Quantitative Finance, 2018, 18, (10), 1767-1779 Downloads View citations (3)

2017

  1. Approximate arbitrage-free option pricing under the SABR model
    Journal of Economic Dynamics and Control, 2017, 83, (C), 198-214 Downloads View citations (7)
  2. SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY
    Mathematical Finance, 2017, 27, (1), 115-150 Downloads
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