Details about 杨招军 (Zhaojun Yang)

Access statistics for papers by 杨招军.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pya568

Working Papers

2009

1. Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus
   CRIEFF Discussion Papers, Centre for Research into Industry, Enterprise, Finance and the Firm
   See also Journal Article Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus, Mathematical Methods of Operations Research, Springer (2011) View citations (2) (2011)

2007

2. 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

Journal Articles

2025

1. Investments, credit guarantees, and government subsidies in a regime-switching framework
   Macroeconomic Dynamics, 2025, 29, -
2. Optimal equity split under unobservable investments
   International Journal of Industrial Organization, 2025, 98, (C)

2024

3. Dynamic incentive contracts for ESG investing
   Journal of Corporate Finance, 2024, 87, (C) View citations (5)
4. Financial decisions involving credit default swaps over the business cycle
   Journal of Economic Dynamics and Control, 2024, 161, (C) View citations (1)
5. Simple contracts with double-sided moral hazard and adverse selection
   Economics Letters, 2024, 236, (C)

2023

6. Investment and financing analysis for a venture capital alternative
   Economic Modelling, 2023, 126, (C) View citations (1)
7. Pricing contingent convertibles with idiosyncratic risk
   International Journal of Economic Theory, 2023, 19, (3), 660-693 View citations (1)
8. Security token offerings versus loan guarantees for risk-averse entrepreneurs under asymmetric information
   Finance Research Letters, 2023, 57, (C) View citations (3)
9. The timing of debt renegotiation and its implications for irreversible investment and capital structure
   Quantitative Finance, 2023, 23, (5), 887-900 View citations (2)
10. Two-stage investment, loan guarantees and share buybacks
    Journal of Economic Dynamics and Control, 2023, 156, (C) View citations (1)

2022

11. An Algorithm for the Pricing and Timing of the Option to make a Two-Stage Investment with Credit Guarantees
    Computational Economics, 2022, 60, (3), 1175-1196 View citations (2)
12. Approximate pricing of American exchange options with jumps
    Journal of Futures Markets, 2022, 42, (6), 983-1001

2021

13. Investment and financing for cash flow discounted with group diversity
    International Review of Finance, 2021, 21, (3), 769-785 View citations (1)

2020

14. Assessment of mutual fund performance based on Ensemble Empirical Mode Decomposition
    Physica A: Statistical Mechanics and its Applications, 2020, 538, (C) View citations (1)
15. Investment and asset securitization with an option‐for‐guarantee swap
    European Financial Management, 2020, 26, (4), 1006-1030 View citations (2)
16. Machine learning solutions to challenges in finance: An application to the pricing of financial products
    Technological Forecasting and Social Change, 2020, 153, (C) View citations (17)
17. Real option duopolies with quasi-hyperbolic discounting
    Journal of Economic Dynamics and Control, 2020, 111, (C) View citations (5)

2019

18. Contingent capital with repeated interconversion between debt‐ and equity‐like instruments
    European Financial Management, 2019, 25, (2), 358-379 View citations (6)
19. GROWTH OPTION AND DEBT MATURITY WITH EQUITY DEFAULT SWAPS IN A REGIME-SWITCHING FRAMEWORK
    Macroeconomic Dynamics, 2019, 23, (6), 2250-2268 View citations (8)
20. Real options under a double exponential jump-diffusion model with regime switching and partial information
    Quantitative Finance, 2019, 19, (6), 1061-1073 View citations (7)

2018

21. Irreversible investment, ambiguity and equity default swaps
    Applied Economics Letters, 2018, 25, (18), 1301-1305 View citations (2)

2017

22. Growth option, contingent capital and agency conflicts
    International Review of Economics & Finance, 2017, 51, (C), 354-369 View citations (12)
23. Investment, agency conflicts, debt maturity, and loan guarantees by negotiation
    Annals of Finance, 2017, 13, (3), 253-271 View citations (1)
24. Real options and contingent convertibles with regime switching
    Journal of Economic Dynamics and Control, 2017, 75, (C), 122-135 View citations (8)

2016

25. Contingent Capital, Real Options, and Agency Costs
    International Review of Finance, 2016, 16, (1), 3-40 View citations (18)
26. Contingent capital, capital structure and investment
    The North American Journal of Economics and Finance, 2016, 35, (C), 56-73 View citations (12)
27. Investment and financing for SMEs with a partial guarantee and jump risk
    European Journal of Operational Research, 2016, 249, (3), 1161-1168 View citations (23)
28. Real option, debt maturity and equity default swaps under negotiation
    Finance Research Letters, 2016, 18, (C), 278-284 View citations (9)
29. The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula
    Scandinavian Actuarial Journal, 2016, 2016, (5), 385-397

2015

30. Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk
    European Journal of Operational Research, 2015, 241, (3), 863-871 View citations (25)
31. Investment timing and capital structure with loan guarantees
    Finance Research Letters, 2015, 13, (C), 179-187 View citations (15)
32. The Pricing of Two Newly Invented Swaps in a Jump-Diffusion Model
    Annals of Economics and Finance, 2015, 16, (2), 371-392 View citations (10)
33. Two new equity default swaps with idiosyncratic risk
    International Review of Economics & Finance, 2015, 37, (C), 254-273 View citations (16)
34. Valuation and analysis of contingent convertible securities with jump risk
    International Review of Financial Analysis, 2015, 41, (C), 124-135 View citations (10)

2014

35. 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 View citations (5)
36. The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds
    Indian Journal of Pure and Applied Mathematics, 2014, 45, (4), 479-495
37. 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

2013

38. High-Water Marks and Hedge Fund Management Contracts with Partial Information
    Computational Economics, 2013, 42, (3), 327-350 View citations (3)
39. Optimal capital structure with an equity-for-guarantee swap
    Economics Letters, 2013, 118, (2), 355-359 View citations (24)

2012

40. Arbitrage-free interval and dynamic hedging in an illiquid market
    Quantitative Finance, 2012, 13, (7), 1029-1039
41. Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information
    Computational Economics, 2012, 39, (2), 195-217 View citations (9)
42. The discounted penalty function with multi-layer dividend strategy in the phase-type risk model
    Statistics & Probability Letters, 2012, 82, (7), 1358-1366 View citations (5)

2011

43. A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA
    Journal of Probability and Statistics, 2011, 2011, 1-23
44. Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
    Mathematical Methods of Operations Research, 2011, 74, (1), 93-120 View citations (2)
    See also Working Paper Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus, CRIEFF Discussion Papers (2009) (2009)

2010

45. On the non-equilibrium density of geometric mean reversion
    Statistics & Probability Letters, 2010, 80, (7-8), 608-611 View citations (3)

2009

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

2008

47. 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 View citations (14)

2001

48. 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 View citations (3)

Undated

49. Optimal investment and financing with macroeconomic risk and loan guarantees
    Journal of Credit Risk