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Dynamic portfolio choice with return predictability and transaction costs
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: European journal of operational research : EJOR 278 (2019) 3, pp. 976-988
Persistent link: https://www.econbiz.de/10012102528
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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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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
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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
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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
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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
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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
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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
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Optimal investment and consumption under a continuous-time cointegration model with exponential utility
Ma, Guiyuan; Zhu, Song-Ping - In: Quantitative finance 19 (2019) 7, pp. 1135-1149
Persistent link: https://www.econbiz.de/10012194749
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Optimal execution with regime-switching market resilience
Siu, Chi Chung; Guo, Ivan; Zhu, Song-Ping; Elliott, … - In: Journal of economic dynamics & control 101 (2019), pp. 17-40
Persistent link: https://www.econbiz.de/10012131017