Guoping Xu

Citi

Exhibition Road

London, Greater London SW7 2AZ

SCHOLARLY PAPERS

3

DOWNLOADS

411

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

Approximate Basket Options Valuation for a Jump-Diffusion Model

Insurance: Mathematics and Economics, Vol. 45, No. 2, pp. 188-194, 2009
Number of pages: 20 Posted: 26 Jan 2010
Guoping Xu and Harry Zheng
Citi and Imperial College London - Mathematical Finance
Downloads 161 (340,725)

Abstract:

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Basket option pricing, Jump-diffusion model, Analytic approximation, Conditional moment matching

2.

Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method

Number of pages: 16 Posted: 30 Mar 2010
Guoping Xu and Harry Zheng
Citi and Imperial College London - Mathematical Finance
Downloads 155 (351,775)
Citation 1

Abstract:

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Basket options pricing, local volatility jump-diffusion model, forward PIDE, asymptotic expansion

3.

Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models

Number of pages: 11 Posted: 29 Aug 2012
Guoping Xu and Harry Zheng
Citi and Imperial College London - Mathematical Finance
Downloads 95 (507,138)
Citation 1

Abstract:

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basket options valuation, local volatility jump-diffusion model, lower bound approximation, second order asymptotic expansion