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Xiao, Yajun's
Scholarly Papers
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Total
Downloads
1,188 |
Total
Citations
5 |
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1.
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Implied Volatility from Asian Options Via Monte Carlo Methods
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Ewald, Christian-Oliver
University of Glasgow Yang, Zhaojun
Hunan University - School of Finance and Statistics Xiao, Yajun
University of Freiburg - Department of Economics
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Posted:
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19 Jan 07
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Last Revised:
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07 Dec 09
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545
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Ewald, Christian-Oliver
University of Glasgow Xiao, Yajun
University of Freiburg - Department of Economics
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implied volatility, Monte Carlo simulation, Asian options, exotic options, calibration, local volatility
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Ewald, Christian-Oliver
University of Glasgow Yang, Zhaojun
Hunan University - School of Finance and Statistics Xiao, Yajun
University of Freiburg - Department of Economics
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19 Jan 07
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Last Revised:
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03 Jan 08
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545
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implied volatility, Monte Carlo simulation, Asian options, exotic options
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2.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Ewald, Christian-Oliver
University of Glasgow Xiao, Yajun
University of Freiburg - Department of Economics
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245
(60,407)
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4
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Asian options, volatility, vega, duration, qualitative risk-management
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3.
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Ewald, Christian-Oliver
University of Glasgow Xiao, Yajun
University of Freiburg - Department of Economics
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08 May 07
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Last Revised:
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26 Apr 11
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175
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information, financial markets, stochastic differential games
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4.
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Xiao, Yajun
University of Freiburg - Department of Economics
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119
(118,648)
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R-minimizing hedging, Delta hedging, incomplete markets, stochastic volatility model, Clark-Ocone formula, Malliavin Calculus, path-dependent options
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5.
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Ewald, Christian-Oliver
University of Glasgow Xiao, Yajun
University of Freiburg - Department of Economics Zou, Yang
University of Kaiserslautern - Department of Mathematics Siu, Tak-Kuen
Macquarie University, Faculty of Business and Economics
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26 Jun 09
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Last Revised:
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12 Jan 11
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104
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Malliavin calculus, Feller diffusions, Greeks, Option pricing
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