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Details about Zhaojun Yang

E-mail:
Homepage:http://faculty.sustc.edu.cn/profiles/yangzj/
Workplace:Department of Finance, Southern University of Science and Technology, (more information at EDIRC)

Access statistics for papers by Zhaojun Yang.

Last updated 2019-09-02. Update your information in the RePEc Author Service.

Short-id: pya568


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Working Papers

2007

  1. Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

Journal Articles

2019

  1. Contingent capital with repeated interconversion between debt‐ and equity‐like instruments
    European Financial Management, 2019, 25, (2), 358-379 Downloads
  2. GROWTH OPTION AND DEBT MATURITY WITH EQUITY DEFAULT SWAPS IN A REGIME-SWITCHING FRAMEWORK
    Macroeconomic Dynamics, 2019, 23, (6), 2250-2268 Downloads
  3. Real options under a double exponential jump-diffusion model with regime switching and partial information
    Quantitative Finance, 2019, 19, (6), 1061-1073 Downloads

2018

  1. Irreversible investment, ambiguity and equity default swaps
    Applied Economics Letters, 2018, 25, (18), 1301-1305 Downloads

2017

  1. Growth option, contingent capital and agency conflicts
    International Review of Economics & Finance, 2017, 51, (C), 354-369 Downloads View citations (1)
  2. Investment, agency conflicts, debt maturity, and loan guarantees by negotiation
    Annals of Finance, 2017, 13, (3), 253-271 Downloads
  3. Real options and contingent convertibles with regime switching
    Journal of Economic Dynamics and Control, 2017, 75, (C), 122-135 Downloads View citations (2)

2016

  1. Contingent Capital, Real Options, and Agency Costs
    International Review of Finance, 2016, 16, (1), 3-40 Downloads View citations (5)
  2. Contingent capital, capital structure and investment
    The North American Journal of Economics and Finance, 2016, 35, (C), 56-73 Downloads View citations (3)
  3. Investment and financing for SMEs with a partial guarantee and jump risk
    European Journal of Operational Research, 2016, 249, (3), 1161-1168 Downloads View citations (6)
  4. Real option, debt maturity and equity default swaps under negotiation
    Finance Research Letters, 2016, 18, (C), 278-284 Downloads View citations (1)

2015

  1. Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk
    European Journal of Operational Research, 2015, 241, (3), 863-871 Downloads View citations (7)
  2. Investment timing and capital structure with loan guarantees
    Finance Research Letters, 2015, 13, (C), 179-187 Downloads View citations (3)
  3. The Pricing of Two Newly Invented Swaps in a Jump-Diffusion Model
    Annals of Economics and Finance, 2015, 16, (2), 371-392 Downloads View citations (2)
  4. Two new equity default swaps with idiosyncratic risk
    International Review of Economics & Finance, 2015, 37, (C), 254-273 Downloads View citations (5)
  5. Valuation and analysis of contingent convertible securities with jump risk
    International Review of Financial Analysis, 2015, 41, (C), 124-135 Downloads View citations (5)

2014

  1. Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk
    Journal of Mathematical Economics, 2014, 51, (C), 1-11 Downloads View citations (1)
  2. Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information
    Computational Economics, 2014, 44, (1), 1-26 Downloads View citations (1)

2013

  1. High-Water Marks and Hedge Fund Management Contracts with Partial Information
    Computational Economics, 2013, 42, (3), 327-350 Downloads View citations (1)
  2. Optimal capital structure with an equity-for-guarantee swap
    Economics Letters, 2013, 118, (2), 355-359 Downloads View citations (8)

2012

  1. Arbitrage-free interval and dynamic hedging in an illiquid market
    Quantitative Finance, 2012, 13, (7), 1029-1039 Downloads
  2. Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information
    Computational Economics, 2012, 39, (2), 195-217 Downloads View citations (4)
  3. The discounted penalty function with multi-layer dividend strategy in the phase-type risk model
    Statistics & Probability Letters, 2012, 82, (7), 1358-1366 Downloads View citations (1)

2011

  1. Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
    Mathematical Methods of Operations Research, 2011, 74, (1), 93-120 Downloads

2010

  1. On the non-equilibrium density of geometric mean reversion
    Statistics & Probability Letters, 2010, 80, (7-8), 608-611 Downloads View citations (2)

2009

  1. IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (02), 153-178 Downloads

2008

  1. Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
    Mathematical Methods of Operations Research, 2008, 68, (1), 97-123 Downloads View citations (9)

2001

  1. OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS
    International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (05), 759-772 Downloads
 
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