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Option pricing under sub-mixed fractional Brownian motion based on time-varying implied volatility using intelligent algorithms 期刊论文
Soft Computing, 2023, 卷号: 27, 期号: 20, 页码: 15225-15246
作者:  Guo, Jingjun;  Kang, Weiyi;  Wang, Yubing
收藏  |  浏览/下载：47/0  |  提交时间：2023/07/17
Efficient valuation and exercise boundary of American fractional lookback option in a mixed jump-diffusion model 期刊论文
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2017, 卷号: 4, 期号: 2-3, 页码: 1
作者:  Yang, Zhaoqiang
收藏  |  浏览/下载：855/190  |  提交时间：2021/03/24
A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL 期刊论文
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2020, 卷号: 34, 期号: 1, 页码: 27-52
作者:  Yang, Zhaoqiang
Adobe PDF(379Kb)  |  收藏  |  浏览/下载：281/18  |  提交时间：2021/03/24
European vulnerable options pricing under sub-mixed fractional jump-diffusion model with stochastic interest rate 期刊论文
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2024
作者:  Guo, Jingjun;  Wang, Yubing;  Kang, Weiyi
收藏  |  浏览/下载：45/0  |  提交时间：2024/11/05
Collision local times of two independent fractional Brownian motions 期刊论文
FRONTIERS OF MATHEMATICS IN CHINA, 2011, 卷号: 6, 期号: 2, 页码: 325-338
作者:  Wang, Xiangjun;  Guo, Jingjun;  Jiang, Guo
收藏  |  浏览/下载：98/0  |  提交时间：2021/03/24
Higher-Order Derivative of Intersection Local Time for Two Independent Fractional Brownian Motions 期刊论文
JOURNAL OF THEORETICAL PROBABILITY, 2019, 卷号: 32, 期号: 3, 页码: 1190-1201
作者:  Guo, Jingjun;  Hu, Yaozhong;  Xiao, Yanping
Adobe PDF(383Kb)  |  收藏  |  浏览/下载：121/8  |  提交时间：2021/03/24
Optimal Exercise Boundary of American Fractional Lookback Option in a Mixed Jump-Diffusion Fractional Brownian Motion Environment 期刊论文
MATHEMATICAL PROBLEMS IN ENGINEERING, 2017, 卷号: 2017, 期号: 1, 页码: 1
作者:  Yang, Zhaoqiang
Adobe PDF(556Kb)  |  收藏  |  浏览/下载：167/5  |  提交时间：2021/03/24