Boda Kang

AMP

Senior Analyst - Pricing and Modelling

Sydney, NSW

Australia

SCHOLARLY PAPERS

11

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1,515

SSRN CITATIONS
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SSRN RANKINGS

Top 45,318

in Total Papers Citations

12

CROSSREF CITATIONS

3

Scholarly Papers (11)

The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines

University of Technology Sydney Research Paper No. 219
Number of pages: 43 Posted: 12 May 2008
University of Technology, Sydney - UTS Business School, Finance Discipline Group, AMP, Georgia Institute of Technology - Mathematics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 264 (161,872)
Citation 6

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American options, stochastic volatility, jump-diffusion processes, Volterra integral equations, free boundary problem, method of lines

The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines

International Journal of Theoretical and Applied Finance, Vol. 12, No. 3, pp. 393-425, 2009
Posted: 02 Dec 2009
University of Technology, Sydney - UTS Business School, Finance Discipline Group, AMP, Georgia Institute of Technology - Mathematics and University of Technology Sydney (UTS) - School of Finance and Economics

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American options, stochastic volatility, jump-diffusion processes, Volterra integral equations, free boundary problem, method of lines

2.

Economic Determinants of Oil Futures Volatility: A Term Structure Perspective

Energy Economics, Vol. 88, No. 104743, 2020
Number of pages: 46 Posted: 11 Jul 2019 Last Revised: 09 Nov 2020
AMP, University of Technology Sydney - Business School and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 213 (199,629)
Citation 2

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oil market, volatility, term structure, macroeconomy

3.

The Evaluation of American Compound Option Prices under Stochastic Volatility Using the Sparse Grid Approach

Quantitative Finance Research Centre Research Paper No. 245
Number of pages: 19 Posted: 03 Mar 2009
Carl Chiarella and Boda Kang
University of Technology, Sydney - UTS Business School, Finance Discipline Group and AMP
Downloads 204 (207,796)

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American compound option, stochastic volatility, free boundary problem, sparse grid, combination technique, Monte Carlo simulation, method of lines

4.

The Return-Volatility Relation in Commodity Futures Markets

UNSW Business School Research Paper No. 2015 BFIN 05
Number of pages: 30 Posted: 13 Jun 2015
University of Technology, Sydney - UTS Business School, Finance Discipline Group, AMP, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 183 (228,756)
Citation 3

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Return-volatility relation; Commodity futures returns; Gold futures volatility

5.

Investigating Time-Efficient Methods to Price Compound Options in the Heston Model

Number of pages: 29 Posted: 26 Feb 2013
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology, Sydney and AMP
Downloads 179 (233,101)

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6.

Particle Filters for Markov Switching Stochastic Volatility Models

Research Paper Number: 299, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 21 Posted: 23 Oct 2012
Yun Bao, Carl Chiarella and Boda Kang
Gansu Provincial Hospital, University of Technology, Sydney - UTS Business School, Finance Discipline Group and AMP
Downloads 151 (268,661)
Citation 1

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particle filters, Markov switching stochastic volatility models, sequential Monte Carlo simulation

7.

Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 38 Posted: 09 Oct 2012
University of Technology, Sydney - UTS Business School, Finance Discipline Group, AMP, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 149 (271,565)
Citation 4

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Commodity derivatives, Crude oil derivatives, Unspanned stochastic volatility, Hump-shaped volatility, Pricing, Hedging

8.

Optimal Surrender of Guaranteed Minimum Maturity Benefits Under Stochastic Volatility and Interest Rates

Number of pages: 25 Posted: 05 Jun 2016
Boda Kang and Jonathan Ziveyi
AMP and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
Downloads 78 (421,588)
Citation 2

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Variable annuities, optimal surrender, GMMB, stochastic volatility, stochastic interest rates, Fourier Cosine expansion, method of lines

9.

Pricing American Options With Jumps in Asset and Volatility

Number of pages: 41 Posted: 17 Nov 2018
University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group, AMP and University of Technology Sydney - Business School
Downloads 58 (491,175)
Citation 1

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American Options, Method of Lines, Stochastic Interest Rate, Jumps, Greeks

10.

The Impact of Jumps on American Option Pricing: The S&P 100 Options Case.

Number of pages: 49 Posted: 25 Jan 2019
AMP, University of Technology Sydney - Business School, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 36 (594,198)

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American options; S&P 100 options; Method of Lines; asset jumps; volatility jumps; stochastic interest rate

11.

The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching

Research Paper Number: 288, Quantitative Finance Research Centre, University of Technology, Sydney
Posted: 27 Oct 2012
Carl Chiarella, Les Clewlow and Boda Kang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Lacima and AMP

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gas sales agreement, swing contract, take-or-pay, make-up, carry forward, forward price curve, regime switching volatility, recombing pentanomial tree