2 papers
q-fin.MF2021
Pricing S&P 500 Index Options with Lévy Jumps
Bin Xie, Weiping Li, Nan Liang
We analyze various jumps for Heston model, non-IID model and three Lévy jump models for S&P 500 index options. The Lévy jump for the S&P 500 index options is inevitable from empiri…
stat.ME2018
Nonparametric Estimation of Conditional Expectation with Auxiliary Information and Dimension Reduction
Bingying Xie, Jun Shao
Nonparametric estimation of the conditional expectation of an outcome given a covariate vector is of primary importance in many statistical applications such as…