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An empirical analysis of option pricing with short sell bans

Alfeus, Mesias; He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied … 25 (2022) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10013371029

A closed-form pricing formula for European options in an illiquid asset market

Pasricha, Puneet; Zhu, Song-Ping; He, Xin-Jiang - In: Financial innovation : FIN 8 (2022), pp. 1-18

This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid. A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stochastic process and the sensitivity of the underlying price to market-wide...

Persistent link: https://www.econbiz.de/10013170252

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

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

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

How should a local regime-switching model be calibrated?

He, Xin-Jiang; Zhu, Song-Ping - In: Journal of economic dynamics & control 78 (2017), pp. 149-163

Persistent link: https://www.econbiz.de/10011817489

A new integral equation formulation for American put options

Zhu, Song-Ping; He, Xin-Jiang; Lu, Xiaoping - In: Quantitative finance 18 (2018) 3, pp. 483-490

Persistent link: https://www.econbiz.de/10011906400

A hybrid computational approach for option pricing

Zhu, Song-Ping; He, Xin-Jiang - In: International journal of financial engineering 5 (2018) 3, pp. 1-16

Persistent link: https://www.econbiz.de/10011923019

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

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