Narrow search
Showing 21 - 30 of 71
Cover Image
A numerical solution of optimal portfolio selection problem with general utility functions
Ma, Guiyuan; Zhu, Song-Ping; Kang, Boda - In: Computational economics 55 (2020) 3, pp. 957-981
Persistent link: https://www.econbiz.de/10012223689
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Equal risk pricing under convex trading constraints
Guo, Ivan; Zhu, Song-Ping - In: Journal of economic dynamics & control 76 (2017), pp. 136-151
Persistent link: https://www.econbiz.de/10011817212
Cover Image
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
Cover Image
An analytical solution for the HJB equation arising from the Merton problem
Zhu, Song-Ping; Ma, Guiyuan - In: International journal of financial engineering 5 (2018) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10011922966
Cover Image
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
Cover Image
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