1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PR2014
Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process
Jingwei Liu, Jiwen Luo, Xing Chen
Pricing of European basket call option with n-assets and a bond is discussed in this paper, where all prices of n-assets and the bond are driven by Exponential Ornstein-Uhlenbeck p…
q-fin.PR2012★ 1 cited
Implied volatility formula of European Power Option Pricing
Jingwei Liu, Xing Chen
We derive the implied volatility estimation formula in European power call options pricing, where the payoff functions are in the form of and …