no code implementations • 20 Jan 2024 • Min Dai, Hanqing Jin, Xi Yang
We propose an innovative data-driven option pricing methodology that relies exclusively on the dataset of historical underlying asset prices.
no code implementations • 2 Jun 2020 • Ying Hu, Hanqing Jin, Xun Yu Zhou
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility.
no code implementations • 16 May 2017 • Shaolin Ji, Hanqing Jin, Xiaomin Shi
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics.
