6 papers
Asset Prices with Investor Protection and Survival Analysis of Shareholders in the Cross-Sectional Economy
Jia Yue, Ming-Hui Wang, Nan-Jing Huang +1
In this paper, we consider a dynamic asset pricing model in a cross-sectional economy with two firms where a controlling shareholder cannot divert output in one firm with perfect i…
A Linear-quadratic Mean-Field Stochastic Stackelberg Differential Game with Random Exit Time
Zhun Gou, Nan-jing Huang, Ming-hui Wang
In this paper, we investigate a new model of a linear-quadratic mean-field stochastic Stackelberg differential game with one leader and two followers, in which the leader is allowe…
A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator
Zhun Gou, Nan-jing Huang, Ming-hui Wang +1
In this paper, we first introduce a new spatial-temporal interaction operator to describe the space-time dependent phenomena. Then we consider the stochastic optimal control of a n…
Asset Prices with Investor Protection and Past Information
Jia Yue, Ben-Zhang Yang, Ming-Hui Wang +1
In this paper, we consider a dynamic asset pricing model in an approximate fractional economy to address empirical regularities related to both investor protection and past informa…
Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients
Zhun Gou, Ming-hui Wang, Nan-jing Huang
In this paper, the existence and pathwise uniqueness of strong solutions for jump-type stochastic differential equations are investigated under non-Lipschitz conditions. A sufficie…
Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
Ben-zhang Yang, Jia Yue, Ming-hui Wang +1
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using F…