4 citations · 6 across the 2 of their papers we have counts for
2 papers
q-fin.MF2019★ 4 cited
A hybrid stochastic differential reinsurance and investment game with bounded memory
Yanfei Bai, Zhongbao Zhou, Helu Xiao +2
This paper investigates a hybrid stochastic differential reinsurance and investment game between one reinsurer and two insurers, including a stochastic Stackelberg differential sub…
q-fin.CP2019★ 2 cited
The Numerical Simulation of Quanto Option Prices Using Bayesian Statistical Methods
Lisha Lin, Yaqiong Li, Rui Gao +1
In the paper, the pricing of Quanto options is studied, where the underlying foreign asset and the exchange rate are correlated with each other. Firstly, we adopt Bayesian methods…