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

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Scholarly Papers (5)

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1.

Implied Volatility from Asian Options Via Monte Carlo Methods

Downloads 732 ( 36,841)

2

Implied Volatility from Asian Options Via Monte Carlo Methods

Number of pages: 33 Posted: 19 Jan 2007 Last Revised: 03 Jan 2008

Christian-Oliver Ewald, Zhaojun Yang and Yajun Xiao

University of Glasgow, Southern University of Science and Technology - Department of Finance and University of Freiburg - Department of Economics

Downloads 732 (36,300)

Abstract:

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

Zhaojun Yang, Christian-Oliver Ewald and Yajun Xiao

Southern University of Science and Technology - Department of Finance, University of Glasgow and University of Freiburg - Department of Economics

Abstract:

2.

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

Number of pages: 17 Posted: 24 Jan 2008

Peter Carr, Christian-Oliver Ewald and Yajun Xiao

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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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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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

Abstract:

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

Christian-Oliver Ewald, Yajun Xiao, Yang Zou and Tak-Kuen Siu

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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