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Explicit expressions to counterparty credit exposures for Forward and European Option 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 卷号: 52, 页码: 14
Authors:  Li, Shuang;  Peng, Cheng;  Bao, Ying;  Zhao, Yanlong
Favorite  |  View/Download:67/0  |  Submit date:2020/05/24
Counterparty credit exposure  Explicit expressions  Forward  European Option  
外汇欧式期权在市场不完备下的对冲误差分析 期刊论文
系统工程理论与实践, 2019, 卷号: 39.0, 期号: 011, 页码: 2739-2749
Authors:  彭程;  李爽;  包莹;  赵延龙
Favorite  |  View/Download:66/0  |  Submit date:2021/01/14
外汇欧式期权  Delta对冲  对冲误差  摩擦系数  
Supply option contracts with spot market and demand information updating 期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2018, 卷号: 266, 期号: 3, 页码: 1062-1071
Authors:  Zhao, Yingxue;  Choi, Tsan-Ming;  Cheng, T. C. E.;  Wang, Shouyang
Favorite  |  View/Download:105/0  |  Submit date:2018/07/30
Supply chain management  Supply chain contract  Option contract  Spot market  Demand information updating  
Estimation of market prices of risks in the GARCH diffusion model 期刊论文
ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2018, 卷号: 31, 期号: 1, 页码: 15-36
Authors:  Wu, Xinyu;  Zhou, Hailin;  Wang, Shouyang
Favorite  |  View/Download:100/0  |  Submit date:2018/07/30
Market prices of risks  GARCH diffusion model  option pricing  efficient importance sampling  maximum likelihood  particle filter  
Model-based pricing for financial derivatives 期刊论文
JOURNAL OF ECONOMETRICS, 2015, 卷号: 187, 期号: 2, 页码: 447-457
Authors:  Zhu, Ke;  Ling, Shiqing
Favorite  |  View/Download:61/0  |  Submit date:2018/07/30
NGARCH  EGARCH and GJR models  Non-normal innovation  Option valuation  Risk neutralized measure  Volatility skew  
Coordination of supply chains by option contracts: A cooperative game theory approach 期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2010, 卷号: 207, 期号: 2, 页码: 668-675
Authors:  Zhao, Yingxue;  Wang, Shouyang;  Cheng, T. C. E.;  Yang, Xiaoqi;  Huang, Zhimin
Favorite  |  View/Download:73/0  |  Submit date:2018/07/30
Supply chain management  Cooperative game  Option contract  Negotiating power  Channel coordination  
Parallel computing method of valuing for multi-asset European option 期刊论文
INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING, 2004, 卷号: 3, 期号: 4, 页码: 575-581
Authors:  Zheng, WM;  Shu, JW
Favorite  |  View/Download:72/0  |  Submit date:2018/07/30
multi-asset European  parallel computing  option valuing  Monte-Carlo method  high dimension problem