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Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
He, Xin-Jiang; Chen, Wenting - In: IMA journal of management mathematics 33 (2022) 2, pp. 255-272
Persistent link: https://www.econbiz.de/10012798778
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An analytic formula for pricing American-style convertible bonds in a regime switching model
Chan, Leunglung; Zhu, Song-Ping - In: IMA journal of management mathematics 26 (2015) 4, pp. 402-428
Persistent link: https://www.econbiz.de/10011515674
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An accurate approximation formula for pricing European options with discrete dividend payments
Zhu, Song-Ping; He, Xin-Jiang - In: IMA journal of management mathematics 29 (2018) 2, pp. 175-188
Persistent link: https://www.econbiz.de/10011888608
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Pricing double-barrier Parisian options
Liu, Chun-Yang; Zhu, Song-Ping; Zhang, Shu-Hua - In: IMA journal of management mathematics 34 (2023) 4, pp. 633-660
Persistent link: https://www.econbiz.de/10014389016
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A new algorithm for calibrating local regime-switching models
He, Xin-Jiang; Zhu, Song-Ping - In: IMA journal of management mathematics 32 (2021) 2, pp. 237-255
Persistent link: https://www.econbiz.de/10012434403
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Pricing resettable convertible bonds using an integral equation approach
Lin, Sha; Zhu, Song-Ping - In: IMA journal of management mathematics 31 (2020) 4, pp. 417-443
Persistent link: https://www.econbiz.de/10012314042