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An analytic approach for pricing American options with regime switching

Chan, Leunglung; Zhu, Song-Ping - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-20

This paper investigates the American option price in a two-state regime-switching model. The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process. That means the interest rate, the appreciation rate, and the volatility of underlying rely on hidden states of the...

Persistent link: https://www.econbiz.de/10012611745

On full calibration of hybrid local volatility and regime-switching models

He, Xin-Jiang; Zhu, Song-Ping - In: Journal of Futures Markets 38 (2018) 5, pp. 586-606

Persistent link: https://www.econbiz.de/10012082098

Calculating the early exercise boundary of American put options with an approximation formula

Zhu, Song-ping; He, Zhi-wei - In: International journal of theoretical and applied finance 10 (2007) 7, pp. 1203-1227

Persistent link: https://www.econbiz.de/10003632066

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

Pricing Parisian and Parasian options analytically

Zhu, Song-ping; Chen, Wen-ting - In: Journal of economic dynamics & control 37 (2013) 4, pp. 875-896

Persistent link: https://www.econbiz.de/10009726170

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

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

An explicit analytic formula for pricing barrier options with regime switching

Chan, Leunglung; Zhu, Song-Ping - In: Mathematics and financial economics 9 (2015) 1, pp. 29-37

Persistent link: https://www.econbiz.de/10010500699

An inverse finite element method for pricing American options

Zhu, Song-ping; Chen, Wen-ting - In: Journal of economic dynamics & control 37 (2013) 1, pp. 231-250

Persistent link: https://www.econbiz.de/10009703598

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