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q-fin.PR2019
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…
q-fin.PR2018
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…
q-fin.PR2017
Variance swaps under Lévy process with stochastic volatility and stochastic interest rate in incomplete markets
Ben-zhang Yang, Jia Yue, Nan-jing Huang
This paper focuses on the pricing of the variance swap in an incomplete market where the stochastic interest rate and the price of the stock are respectively driven by Cox-Ingersol…