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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

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

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

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

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 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

An analytic approach for pricing American options with regime switching

Chan, Leunglung; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 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/10012533592