| Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options N Cai, N Chen, X Wan Mathematics of Operations Research 35 (2), 412-437, 2010 | 74 | 2010 |
| Pricing double-barrier options under a flexible jump diffusion model N Cai, N Chen, X Wan Operations Research Letters 37 (3), 163-167, 2009 | 67 | 2009 |
| A nonzero‐sum game approach to convertible bonds: tax benefit, bankruptcy cost, and early/late calls N Chen, M Dai, X Wan Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013 | 35 | 2013 |
| Sensitivity analysis of nonlinear behavior with distorted probability XR Cao, X Wan Mathematical Finance 27 (1), 115-150, 2017 | 31 | 2017 |
| A new delta expansion for multivariate diffusions via the Itô-Taylor expansion N Yang, N Chen, X Wan Journal of Econometrics 209 (2), 256-288, 2019 | 25 | 2019 |
| Approximate arbitrage-free option pricing under the SABR model N Yang, N Chen, Y Liu, X Wan Journal of Economic Dynamics and Control 83, 198-214, 2017 | 15 | 2017 |
| Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps X Wan, N Yang Journal of Economic Dynamics and Control 125, 104083, 2021 | 14* | 2021 |
| Nonconcave utility maximization with portfolio bounds M Dai, S Kou, S Qian, X Wan Management Science 68 (11), 8368-8385, 2022 | 8 | 2022 |
| Non-concave utility maximization without the concavification principle M Dai, S Kou, S Qian, X Wan Available at SSRN 3422276, 2019 | 7 | 2019 |
| The survival probability of the SABR model: asymptotics and application N Yang, X Wan Quantitative Finance 18 (10), 1767-1779, 2018 | 7 | 2018 |
| Pi portfolio management: Reaching goals while avoiding drawdowns J Cvitanic, S Kou, X Wan, K Williams Available at SSRN, 2019 | 5 | 2019 |
| Explicit Pathwise Expansion for Multivariate Diffusions and Its Application to Equivalence of Density Expansions X Wan, N Yang Available at SSRN 3748893, 2023 | 1 | 2023 |
| Mono-Linearity-Based Axiomatic Approach to Non-Linear Expected Utility XR Cao, X Wan Available at SSRN 2353740, 2013 | 1 | 2013 |
| Analysis of non-linear behavior-a sensitivity-based approach XR Cao, X Wan 2012 IEEE 51st IEEE Conference on Decision and Control (CDC), 849-854, 2012 | 1 | 2012 |
| A Study of Convertible Bond: Optimal Strategies and Pricing X Wan Chinese University of Hong Kong, 2010 | 1 | 2010 |
| Double-Exponential Jumps in Returns and GARCH Diffusion in Volatilities: Evidence from the Chinese SSE 50ETF Option Market C Qiao, X Wan, N Yang Available at SSRN 4802448, 2024 | | 2024 |
| Explicit Pathwise Expansion for Multivariate Diffusions and Its Application to Equivalence of Density Expansions N Chen, X Wan, N Yang | | 2023 |
| Pi Portfolio Management: Reaching Goals While Avoiding Losses J Cvitanic, S Kou, X Wan, K Williams Available at SSRN 3444836, 2019 | | 2019 |
| Density Approximations for Multivariate Diffusions via an Itô-Taylor Expansion Approach N Yang, N Chen, X Wan | | 2017 |
| How Does Perturbation Analysis Work in Finance and Economics? XR Cao, X Wan IFAC Proceedings Volumes 47 (2), 253-258, 2014 | | 2014 |
