3 papers
math.OC2021
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…
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…