1 citations · 1 across the 16 of their papers we have counts for
17 papers
Pricing Path-dependent Options under Stochastic Volatility via Mellin Transform
Jiling Cao, Jeong-Hoon Kim, Xi Li +1
In this paper, we derive closed-form formulas of first-order approximation for down-and-out barrier and floating strike lookback put option prices under a stochastic volatility mod…
Existence of equilibrium in an abstract economy without -convexity
Ji-Cheng Hou, Jiling Cao
In this paper, we introduce the concept of -convexity in an abstract economy with all choice sets being general topological spaces. We give a new generalization of the classical…
Topological transitivity in quasi-continuous dynamical systems
Jiling Cao, Aisling McCluskey
A quasi-continuous dynamical system is a pair consisting of a topological space and a mapping such that is quasi-continuous for all ,…
Ex-post core, fine core and rational expectations equilibrium allocations
Anuj Bhowmik, Jiling Cao
This paper investigates the ex-post core and its relationships to the fine core and the set of rational expectations equilibrium allocations in an oligopolistic economy with asymme…
Pairwise -Semi-Stratifiable Bispaces and Topological Ordered Spaces
Kedian Li, Jiling Cao
In this paper, we continue to study pairwise (-semi-)stratifiable bitopological spaces. Some new characterizations of pairwise -semi-stratifiable bitopological spaces are pro…
Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure
Teh Raihana Nazirah Roslan, Wenjun Zhang, Jiling Cao
This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity whic…