7 papers
Stochastic Integration on Stochastic Sets of Interval Type and Applications to Mathematical Finance
Jia Yue, Ming-Hui Wang, Nan-Jing Huang
In the existing works, stochastic sets of interval type, along with -stochastic processes, were introduced within the framework of stochastic analysis. In…
Stochastic Integrals on Predictable Sets of Interval Type with Financial Applications
Jia Yue, Ming-Hui Wang, Nan-Jing Huang
In this paper, by extending the classic stochastic integrals, we investigate three kinds of more general stochastic integrals: Lebesgue-Stieltjes integrals on predictable sets of i…
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…
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…
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…
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…
Fractional Wishart Processes and -Fractional Wishart Processes with Applications
Jia Yue, Nan-jing Huang
In this paper, we introduce two new matrix stochastic processes: fractional Wishart processes and -fractional Wishart processes with integer indices which are based on…