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Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity

An artificial stock market with agent-based model is built to investigate effects of different information characteristics of common factors on the dynamics stock returns. Investors with limited information capacity update their beliefs based on the information they have obtained and processed and optimize portfolios based on beliefs. We find that with changing of concerned...

Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity

An artificial stock market with agent-based model is built to investigate effects of different information characteristics of common factors on the dynamics stock returns. Investors with limited information capacity update their beliefs based on the information they have obtained and processed and optimize portfolios based on beliefs. We find that with changing of concerned...

The European Vulnerable Option Pricing with Jumps Based on a Mixed Model

Received 9 September 2016; Accepted 22 November 2016 Academic Editor: Chris Goodrich Copyright © 2016 Chao Wang et al. This is an open access article distributed under the Creative Commons Attribution

The European Vulnerable Option Pricing with Jumps Based on a Mixed Model

In this paper, we combine the reduced-form model with the structural model to discuss the European vulnerable option pricing. We define that the default occurs when the default process jumps or the corporate goes bankrupt. Assuming that the underlying asset follows the jump-diffusion process and the default follows the Vasicek model, we can have the expression of European...

The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment

Under the assumption of the stock price, interest rate, and default intensity obeying the stochastic differential equation driven by fractional Brownian motion, the jump-diffusion model is established for the financial market in fractional Brownian motion setting. With the changes of measures, the traditional pricing method is simplified and the general pricing formula is...

Almost Periodic Functions on Time Scales and Applications

May 2011 Academic Editor: Mingshu Peng Copyright © 2011 Yongkun Li and Chao Wang. This is an open access article distributed under the Creative Commons Attribution License, which permits

Almost Periodic Functions on Time Scales and Applications

May 2011 Academic Editor: Mingshu Peng Copyright © 2011 Yongkun Li and Chao Wang. This is an open access article distributed under the Creative Commons Attribution License, which permits