George L. Ye

Saint Mary's University - Sobey School of Business

Dr.

Halifax, Nova Scotia B3H 3C3 B3H 3C3

Canada

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 19,397

SSRN RANKINGS

Top 19,397

in Total Papers Downloads

2,420

CITATIONS

0

Scholarly Papers (8)

1.

The Impact of Liquidity Risk on the Prices of Swaps with Default Risk

Number of pages: 21 Posted: 16 Aug 2001
George L. Ye
Saint Mary's University - Sobey School of Business
Downloads 619 (41,553)

Abstract:

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derivatives, swaps, default risk, liquidity risk

2.

Asian Options Versus Vanilla Options

Number of pages: 25 Posted: 10 Jan 2007
George L. Ye
Saint Mary's University - Sobey School of Business
Downloads 439 (64,226)

Abstract:

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Asian option, exotic option

3.

Pricing Asian Options Using Path Bundling

Number of pages: 50 Posted: 27 Sep 2001
Edwin H. Neave and George L. Ye
Smith School of Business and Saint Mary's University - Sobey School of Business
Downloads 347 (84,745)

Abstract:

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options pricing, Asian options, numerical methods

4.

Asian Options Can Be More Expensive

Number of pages: 26 Posted: 06 May 2005
George L. Ye
Saint Mary's University - Sobey School of Business
Downloads 316 (94,064)

Abstract:

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Asian option, exotic option, option pricing

5.

Are the Risk Averse Investors Rational? A Puzzle in the Mean-Varaince Model

Number of pages: 27 Posted: 19 Aug 2002
George L. Ye
Saint Mary's University - Sobey School of Business
Downloads 315 (94,712)

Abstract:

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asset pricing, mean-variance model, portfolio selection, risk aversion

6.

Bounds for Exotics

Number of pages: 36 Posted: 06 Aug 2003 Last Revised: 28 Jun 2015
George L. Ye
Saint Mary's University - Sobey School of Business
Downloads 241 (125,252)

Abstract:

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exotic option, risk management, model risk, option price

7.

Forecasting Stock Exchange Opening with Foreign Stock Markets: Evidence from the NYSE and the SSE

Number of pages: 25 Posted: 12 Jun 2011
George L. Ye
Saint Mary's University - Sobey School of Business
Downloads 87 (286,339)

Abstract:

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Emerging Stock Market, Chinese stock market,Stock Price Discovery, Market Microstructure

8.

A Paradox in the Markowitz Mean-Variance Model with Transaction Costs

Number of pages: 11 Posted: 30 Jun 2015
George L. Ye
Saint Mary's University - Sobey School of Business
Downloads 56 (364,225)

Abstract:

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variance model, portfolio selection, risk aversion, transaction cost