3 citations · 4 across the 6 of their papers we have counts for
6 papers
Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity
Xiaoshan Chen, Chen Yang, Zhou Yang
Data assets are data commodities that have been processed, produced, priced, and traded based on actual demand. Reasonable pricing mechanism for data assets is essential for develo…
Optimal consumption under a drawdown constraint over a finite horizon
Xiaoshan Chen, Xun Li, Fahuai Yi +1
This paper studies a finite horizon utility maximization problem on excessive consumption under a drawdown constraint. Our control problem is an extension of the one considered in…
Recurrence and Ergodicity for A Class of Regime-Switching Jump Diffusions
Xiaoshan Chen, Zhen-Qing Chen, Ky Tran +1
This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes m…
Properties of Switching Jump Diffusions: Maximum Principles and Harnack Inequalities
Xiaoshan Chen, Zhen-Qing Chen, Ky Tran +1
This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with…
American option of stochastic volatility model with negative Fichera function on degenerate boundary
Chen Xiaoshan, Song Qingshuo
In this paper we study a general framework of American put option with stochastic volatility whose value function is associated with a 2-dimensional parabolic variational inequalit…
Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance
Xiaoshan Chen, Qingshuo Song, Fahuai Yi +1
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential…