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A new closed-form formula for pricing European options under a skew Brownian motion
Zhu, Song-Ping; He, Xin-Jiang - In: The European journal of finance 24 (2018) 10/12, pp. 1063-1074
Persistent link: https://www.econbiz.de/10012244440
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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
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An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang; Zhu, Song-Ping - In: Journal of economic dynamics & control 71 (2016), pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
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Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha; He, Xin-Jiang - In: Computational economics 59 (2022) 3, pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
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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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A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
He, Xin-Jiang; Chen, Wenting - In: Mathematics and financial economics 15 (2021) 2, pp. 381-396
Persistent link: https://www.econbiz.de/10012500035
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An analytical approximation formula for barrier option prices under the heston model
He, Xin-Jiang; Lin, Sha - In: Computational economics 60 (2022) 4, pp. 1413-1425
Persistent link: https://www.econbiz.de/10013447445
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Skew-Brownian motion and pricing European exchange options
Pasricha, Puneet; He, Xin-Jiang - In: International review of financial analysis 82 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10013426145
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Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 5, pp. 662-676
Persistent link: https://www.econbiz.de/10014293179
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Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 7, pp. 951-967
Persistent link: https://www.econbiz.de/10014293271