Yajun Xiao

University of Freiburg - Department of Economics

Freiburg, D-79085

Germany

SCHOLARLY PAPERS

5

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1,540

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (5)

Implied Volatility from Asian Options Via Monte Carlo Methods

Number of pages: 33 Posted: 19 Jan 2007 Last Revised: 03 Jan 2008
University of Glasgow, Southern University of Science and Technology - Department of Finance and University of Freiburg - Department of Economics
Downloads 732 (36,300)

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implied volatility, Monte Carlo simulation, Asian options, exotic options

Implied Volatility from Asian Options Via Monte Carlo Methods

International Journal of Theoretical and Applied Finance, Vol. 12, No. 2, pp. 153-178, 2009
Posted: 02 Dec 2009
Southern University of Science and Technology - Department of Finance, University of Glasgow and University of Freiburg - Department of Economics

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implied volatility, Monte Carlo simulation, Asian options, exotic options, calibration, local volatility

2.

On the Qualitative Effect of Volatility and Duration on Prices of Asian Options

Number of pages: 17 Posted: 24 Jan 2008
New York University Finance and Risk Engineering, University of Glasgow and University of Freiburg - Department of Economics
Downloads 315 (104,111)
Citation 2

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Asian options, volatility, vega, duration, qualitative risk-management

3.

Information: Price and Impact on General Welfare and Optimal Investment: An Anticipative Stochastic Differential Game Model

Number of pages: 38 Posted: 08 May 2007 Last Revised: 26 Apr 2011
Christian-Oliver Ewald and Yajun Xiao
University of Glasgow and University of Freiburg - Department of Economics
Downloads 198 (166,086)
Citation 1

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information, financial markets, stochastic differential games

4.

R-Minimizing Hedging in an Incomplete Market: Malliavin Calculus Approach

Number of pages: 37 Posted: 07 May 2009
Yajun Xiao
University of Freiburg - Department of Economics
Downloads 158 (202,584)
Citation 1

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R-minimizing hedging, Delta hedging, incomplete markets, stochastic volatility model, Clark-Ocone formula, Malliavin Calculus, path-dependent options

5.

Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance

Number of pages: 13 Posted: 26 Jun 2009 Last Revised: 12 Jan 2011
University of Glasgow, University of Freiburg - Department of Economics, University of Kaiserslautern - Department of Mathematics and Macquarie University, Macquarie Business School
Downloads 137 (227,569)
Citation 1

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Malliavin calculus, Feller diffusions, Greeks, Option pricing