Nian Yang

Department of Finance and Insurance, Nanjing University

Assistant Professor

Nanjing

China

SCHOLARLY PAPERS

7

DOWNLOADS

421

CITATIONS

2

Scholarly Papers (7)

1.

Approximate Arbitrage-Free Option Pricing Under the SABR Model

Journal of Economic Dynamics and Control, Vol. 83, 2017
Number of pages: 22 Posted: 20 Oct 2016 Last Revised: 13 Sep 2017
Nian Yang, Nan Chen, Yanchu Liu and Xiangwei Wan
Department of Finance and Insurance, Nanjing University, The Chinese University of Hong Kong (CUHK), Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 144 (201,009)

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SABR model; Approximate solution; Arbitrage-free option pricing; Perturbation method

2.

The Survival Probability of the SABR Model: Asymptotics and Application

Number of pages: 29 Posted: 29 Oct 2016 Last Revised: 09 Jan 2018
Nian Yang and Xiangwei Wan
Department of Finance and Insurance, Nanjing University and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 83 (296,919)
Citation 1

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SABR model; Survival probability; Probability of hitting zero; Implied volatility

3.

A New Delta Expansion for Multivariate Diffusions via the Ito-Taylor Expansion

Number of pages: 75 Posted: 18 Oct 2017 Last Revised: 10 Jan 2019
Nian Yang, Nan Chen and Xiangwei Wan
Department of Finance and Insurance, Nanjing University, The Chinese University of Hong Kong (CUHK) and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 75 (315,248)
Citation 1

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closed-form density expansion, delta expansion, Ito-Taylor expansion, multivariate diffusions, maximum likelihood estimation

4.

The Principle of Not Feeling the Boundary for the SABR Model

Number of pages: 21 Posted: 01 Mar 2018
Nan Chen and Nian Yang
The Chinese University of Hong Kong (CUHK) and Department of Finance and Insurance, Nanjing University
Downloads 46 (400,127)

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SABR model, Probability of hitting zero, Principle of not feeling the boundary, Time-changed Bessel process

5.

Pricing Continuously Monitored Barrier Options Under the Sabr Model: A Closed-Form Approximation

Number of pages: 26 Posted: 20 Dec 2017
Nian Yang, Yanchu Liu and Zhenyu Cui
Department of Finance and Insurance, Nanjing University, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Stevens Institute of Technology - School of Business
Downloads 27 (480,002)

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SABR model, continuously monitored barrier options, survival density, closed-form approximation, stochastic volatility

6.

Contracting in a Continuous-Time Model with Three-Sided Moral Hazard and Cost Synergies

Kelley School of Business Research Paper No. 18-14
Number of pages: 37 Posted: 12 Feb 2018 Last Revised: 20 Oct 2018
Nian Yang, Jun Yang and Yu Chen
Department of Finance and Insurance, Nanjing University, Indiana University - Kelley School of Business - Department of Finance and Nanjing University - School of Economics
Downloads 26 (485,326)

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optimal contracting, moral hazard in teams, cost synergies, continuous-time model

7.

Hermite Expansion for Transition Densities of Irreducible Diffusions with An Application to Option Pricing

Number of pages: 49 Posted: 02 Jul 2019
Xiangwei Wan and Nian Yang
Shanghai Jiao Tong University - Antai College of Economics & Management and Department of Finance and Insurance, Nanjing University
Downloads 20 (519,268)

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Hermite expansion, Irreducible diffusions, Transition densities, European option pricing, Stochastic volatility models