3 papers
q-fin.MF2025
Pricing American options with exogenous and endogenous transaction costs
Dong Yan, Xin-Jie Huang, Guiyuan Ma +1
We study an American option pricing problem with liquidity risks and transaction fees. As endogenous transaction costs, liquidity risks of the underlying asset are modeled by a mea…
q-fin.MF2019
Robust portfolio optimization with multi-factor stochastic volatility
Ben-Zhang Yang, Xiaoping Lu, Guiyuan Ma +1
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analy…
q-fin.MF2019
Valuation of contingent claims with short selling bans under an equal-risk pricing framework
Guiyuan Ma, Song-Ping Zhu, Ivan Guo
This paper studies the valuation of European contingent claims with short selling bans under the equal risk pricing (ERP) framework proposed in Guo and Zhu (2017) where analytical…