1 citations · 2 across the 7 of their papers we have counts for
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q-fin.RM2011★ 1 cited
Hedging strategies with a put option and their failure rates
Guanghui Huang, Jing Xu, Wenting Xing
The problem of stock hedging is reconsidered in this paper, where a put option is chosen from a set of available put options to hedge the market risk of a stock. A formula is propo…
stat.AP2011
Density-based Monte Carlo filter and its applications in estimation of unobservable variables and pharmacokinetic parameters
Guanghui Huang, Jianping Wan, Hui Chen
Nonlinear stochastic differential equation models with unobservable variables are now widely used in the analysis of PK/PD data. The unobservable variables are often estimated with…
q-fin.RM2011
An Active Margin System and its Application in Chinese Margin Lending Market
Guanghui Huang, Jianping Wan, Cheng Chen
In order to protect brokers from customer defaults in a volatile market, an active margin system is proposed for the transactions of margin lending in China. The probability of neg…