1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.MF2022
The Variable Volatility Elasticity Model from Commodity Markets
Fuzhou Gong, Ting Wang
In this paper, we propose and study a novel continuous-time model, based on the well-known constant elasticity of variance (CEV) model, to describe the asset price process. The bas…
q-fin.RM2010★ 1 cited
Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin
Ting Wang, Virginia R. Young
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a reversible life annuity. The sur…