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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

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

Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes

Lian, Guanghua; Zhu, Song-Ping; Elliott, Robert J.; … - In: Journal of banking & finance 75 (2017), pp. 167-183

Persistent link: https://www.econbiz.de/10011742159

An analytical formula for VIX futures and its applications

Zhu, Song-ping; Lian, Guang-hua - In: The journal of futures markets 32 (2012) 2, pp. 166-190

Persistent link: https://www.econbiz.de/10009487022

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

A closed-form exact solution for pricing variance swaps with stochastic volatility

Zhu, Song-ping; Lian, Guang-hua - In: Mathematical finance : an international journal of … 21 (2011) 2, pp. 233-256

Persistent link: https://www.econbiz.de/10008935680

Pricing VIX options with stochastic volatility and random jumps

Lian, Guang-hua; Zhu, Song-ping - In: Decisions in economics and finance : DEF ; a journal of … 36 (2013) 1, pp. 71-88

Persistent link: https://www.econbiz.de/10009729063

A revised option pricing formula with the underlying being banned from short selling

He, Xin-Jiang; Zhu, Song-Ping - In: Quantitative finance 20 (2020) 6, pp. 935-948

Persistent link: https://www.econbiz.de/10012262638

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

Semi-Analytical Valuation for Discrete Barrier Options under Time-Dependent Lévy Processes

Lian, Guanghua - 2017

Simple analytical solutions for the prices of discretely monitored barrier options do not yet exist in the literature. This paper presents a semi-analytical and fully explicit solution for pricing discretely monitored barrier options when the underlying asset is driven by a general Lévy...

Persistent link: https://www.econbiz.de/10012967550