26 citations · 54 across the 15 of their papers we have counts for
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math.PR2015
Weak Convergence of Equity Derivatives Pricing with Default Risk
Gaoxiu Qiao, Qiang Yao
This paper presents a discrete--time equity derivatives pricing model with default risk in a no--arbitrage framework. Using the equity--credit reduced form approach where default i…
math.OC2015★ 26 cited
On the Dual Representation of Coherent Risk Measures
Marcus Ang, Jie Sun, Qiang Yao
A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study…