Research output per year
Research output per year
Project Details
Chinese Project Title
后金融危机时代的双期限结构利率衍生工具定价模型
| Status | Finished |
|---|---|
| Effective start/end date | 1/09/17 → 31/01/20 |
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Research output
- 2 Journal Article
-
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’
Choi, J. & Wu, L., 2021, In: Quantitative Finance. 21, 7, p. 1083-1086 4 p.Research output: Contribution to journal › Journal Article › peer-review
Open Access4 Citations (Scopus) -
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Choi, J. & Wu, L., Jul 2021, In: Journal of Economic Dynamics and Control. 128, 104143.Research output: Contribution to journal › Journal Article › peer-review
Open Access5 Citations (Scopus)