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Fan, Wei's
Scholarly Papers
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Total Downloads
853 |
Total
Citations
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Fang, Sihai NINTH QUANT MACRO INSTITUTE Fan, Wei University of Electronic Science and Technology of China Lu, Tao Hong Kong University of Science & Technology (HKUST)
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09 May 12
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Last Revised:
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10 Jul 12
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Gold, Financial crisis, Asset pricing
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Liu, Qiang Southwestern University of Finance and Economics - School of Finance Zhu, Song-Ping University of Wollongong Fan, Wei University of Electronic Science and Technology of China
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236
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Chinese warrant, intrinsic value, abnormal warrant price, T 1 trading rule, irrational behavior, rational trading strategy
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Fan, Wei University of Electronic Science and Technology of China
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198
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Black-Scholes formula, volatility, probability of the call ending in the money
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Madnick, Stuart Massachusetts Institute of Technology (MIT) - Sloan School of Management Choucri, Nazli Massachusetts Institute of Technology (MIT) - Department of Political Science Camina, Steven Massachusetts Institute of Technology (MIT) - Electrical Engineering and Computer Science Fogg, Erik Massachusetts Institute of Technology (MIT) Li, Xitong Massachusetts Institute of Technology (MIT) - Sloan School of Management Fan, Wei University of Electronic Science and Technology of China
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88
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5.
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Fan, Wei University of Electronic Science and Technology of China Yan, Zhufei Bocconi University
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Key Words: volatility-linked notes, GARCH(1,1), stochastic volatility, replicated method, Monte-Carlo simulation
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6.
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Fan, Wei University of Electronic Science and Technology of China Yuan, Xinyi affiliation not provided to SSRN
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call warrant, Black-Scholes model, EGARCH model, under the lower bound puzzle, arbitrage
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Records 1 -
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