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A new analytical approximation formula for the optimal exercise boundary of American put options
Zhu, Song-ping - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1141-1178
Persistent link: https://www.econbiz.de/10003395994
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Option pricing for GARCH models with Markov switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
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A Dupire equation for a regime-switching model
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
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Calculating the early exercise boundary of American put options with an approximation formula
Zhu, Song-ping; He, Zhi-wei - In: International journal of theoretical and applied finance 10 (2007) 7, pp. 1203-1227
Persistent link: https://www.econbiz.de/10003632066
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Should an American option be exercised earlier or later if volatility is not assumed to be a constant?
Zhu, Song-ping; Chen, Wen-ting - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1279-1297
Persistent link: https://www.econbiz.de/10009541996
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Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10012030900