The following pages link to Song-Ping Zhu (Q315619):
Displaying 50 items.
- An explicit analytic formula for pricing barrier options with regime switching (Q2018548) (← links)
- An exact and explicit formula for pricing lookback options with regime switching (Q2083405) (← links)
- Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation (Q2192513) (← links)
- A numerical study of the utility-indifference approach for pricing American options (Q2194809) (← links)
- A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes'' (Q2195929) (← links)
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (Q2202993) (← links)
- A new simple tree approach for the Heston's stochastic volatility model (Q2203258) (← links)
- Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility (Q2246975) (← links)
- Optimal exercise of American puts with transaction costs under utility maximization (Q2247137) (← links)
- On the valuation of variance swaps with stochastic volatility (Q2250184) (← links)
- A simple approximation formula for calculating the optimal exercise boundary of American puts (Q2251757) (← links)
- Optimal portfolio execution problem with stochastic price impact (Q2288736) (← links)
- An alternative form to calibrate the correlated Stein-Stein option pricing model (Q2322457) (← links)
- Pricing Parisian down-and-in options (Q2344418) (← links)
- Analytically pricing volatility swaps under stochastic volatility (Q2351082) (← links)
- A combination of LTDRM and ATPS in solving diffusion problems (Q2738667) (← links)
- A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model (Q2929384) (← links)
- OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY (Q3057465) (← links)
- A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (Q3084598) (← links)
- A comparison study of nonlinear waves generated behind a semicircular trench (Q3128377) (← links)
- Pricing perpetual American puts under multi-scale stochastic volatility (Q3143624) (← links)
- On the Adomian decomposition method for solving PDEs (Q3180093) (← links)
- Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative (Q3190718) (← links)
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? (Q3225029) (← links)
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (Q3421829) (← links)
- A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield (Q3430020) (← links)
- CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA (Q3498243) (← links)
- (Q3551798) (← links)
- Stationary Binnie waves near resonance (Q4016203) (← links)
- Improvement on dual reciprocity boundary element method for equations with convective terms (Q4306919) (← links)
- (Q4316111) (← links)
- (Q4316119) (← links)
- A three-dimensional numerical model of the response of the Australian North West Shelf to tropical cyclones (Q4323096) (← links)
- Subcritical, transcritical and supercritical flows over a step (Q4361848) (← links)
- A new numerical approach for solving high-order non-linear ordinary differential equations (Q4421503) (← links)
- A flat ship theory on bow and stern flows (Q4461772) (← links)
- A new integral equation formulation for American put options (Q4554433) (← links)
- Pricing American-style Parisian up-and-out call options (Q4575271) (← links)
- Pricing American call options under a hard-to-borrow stock model (Q4575290) (← links)
- Pricing European options with stochastic volatility under the minimal entropy martingale measure (Q4594578) (← links)
- AN APPROPRIATE APPROACH TO PRICING EUROPEAN-STYLE OPTIONS WITH THE ADOMIAN DECOMPOSITION METHOD (Q4607627) (← links)
- PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES (Q4608943) (← links)
- Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates (Q4641555) (← links)
- The dual reciprocity boundary element method for magnetohydrodynamic channel flows (Q4796456) (← links)
- New solutions for the propagation of long water waves over variable depth (Q4833752) (← links)
- (Q4868439) (← links)
- (Q4923492) (← links)
- (Q4945298) (← links)
- Pricing resettable convertible bonds using an integral equation approach (Q5000461) (← links)
- A new algorithm for calibrating local regime-switching models (Q5000475) (← links)
