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1

A closed-form pricing formula for European options under the Heston model with stochastic interest rate

He, Xin-Jiang, Zhu, Song-Ping

Journal:

Journal of Computational and Applied Mathematics

Year:

2018

Language:

english

File:

PDF, 393 KB

english, 2018

2

Analytically pricing double barrier options based on a time-fractional Black–Scholes equation

Chen, Wenting, Xu, Xiang, Zhu, Song-Ping

Journal:

Computers & Mathematics with Applications

Year:

2015

Language:

english

File:

PDF, 487 KB

english, 2015

3

Application of CFD in ship engineering design practice and ship hydrodynamics

Zhi-rong ZHANG, Hui LIU, Song-ping ZHU, Feng ZHAO

Journal:

Journal of Hydrodynamics, Ser. B

Year:

2006

Language:

english

File:

PDF, 1.04 MB

english, 2006

4

Mathematical Modeling and Experimental Verification of Fluid Flow through Deformable Rough Rock Joints

Indraratna, Buddhima, Kumara, Chandrasiri, Zhu, Song-Ping, Sloan, Scott

Journal:

International Journal of Geomechanics

Year:

2015

Language:

english

File:

PDF, 3.35 MB

english, 2015

5

Robust Portfolio Optimization with Multi-Factor Stochastic Volatility

Yang, Ben-Zhang, Lu, Xiaoping, Ma, Guiyuan, Zhu, Song-Ping

Journal:

Journal of Optimization Theory and Applications

Year:

2020

File:

PDF, 955 KB

2020

6

CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA

ZHU, SONG-PING, HE, ZHI-WEI

Journal:

International Journal of Theoretical and Applied Finance

Year:

2007

Language:

english

File:

PDF, 328 KB

english, 2007

7

A numerical study of the utility-indifference approach for pricing American options

Yan, Dong, Zhu, Song-Ping, Lu, Xiaoping

Journal:

Computers & Mathematics with Applications

Year:

2020

File:

PDF, 939 KB

2020

8

Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative

Chen, Wenting, Xu, Xiang, Zhu, Song-ping

Journal:

Quarterly of Applied Mathematics

Year:

2014

Language:

english

File:

PDF, 328 KB

english, 2014

9

An alternative form used to calibrate the Heston option pricing model

He, Xin-Jiang, Zhu, Song-Ping

Journal:

Computers & Mathematics with Applications

Year:

2016

Language:

english

File:

PDF, 358 KB

english, 2016

10

An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching

HE, Xin-Jiang, ZHU, Song-Ping

Journal:

Journal of Economic Dynamics and Control

Year:

2016

Language:

english

File:

PDF, 516 KB

english, 2016

11

On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures

Zhu, Song-Ping, Lian, Guang-Hua

Journal:

New Mathematics and Natural Computation

Year:

2018

Language:

english

File:

PDF, 299 KB

english, 2018

12

A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS

Journal:

International Journal of Theoretical and Applied Finance

Year:

2006

Language:

english

File:

PDF, 486 KB

english, 2006

13

Computational methods for PDEs in finance

Toivanen, Jari, Oosterlee, Cornelis W., Zhu, Song-Ping

Journal:

International Journal of Computer Mathematics

Year:

2012

Language:

english

File:

PDF, 50 KB

english, 2012

14

Pricing European call options under a hard-to-borrow stock model

Ma, Guiyuan, Zhu, Song-Ping, Chen, Wenting

Journal:

Applied Mathematics and Computation

Year:

2019

Language:

english

File:

PDF, 748 KB

english, 2019

15

A revised option pricing formula with the underlying being banned from short selling

He, Xin-Jiang, Zhu, Song-Ping

Journal:

Quantitative Finance

Year:

2020

Language:

english

File:

PDF, 821 KB

english, 2020

16

A modified Black–Scholes pricing formula for European options with bounded underlying prices

Zhu, Song-Ping, He, Xin-Jiang

Journal:

Computers & Mathematics with Applications

Year:

2017

Language:

english

File:

PDF, 454 KB

english, 2017

17

An accurate approximation formula for pricing European options with discrete dividend payments

Zhu, Song-Ping, He, Xin-Jiang

Journal:

IMA Journal of Management Mathematics

Year:

2016

Language:

english

File:

PDF, 225 KB

english, 2016

18

Nonlinear 2D analysis of the efficiency of fixed Oscillating Water Column wave energy converters

Luo, Yongyao, Nader, Jean-Roch, Cooper, Paul, Zhu, Song-Ping

Journal:

Renewable Energy

Year:

2014

Language:

english

File:

PDF, 2.43 MB

english, 2014

19

Hydrodynamic and energetic properties of a finite array of fixed oscillating water column wave energy converters

Nader, Jean-Roch, Zhu, Song-Ping, Cooper, Paul

Journal:

Ocean Engineering

Year:

2014

Language:

english

File:

PDF, 3.70 MB

english, 2014

20

A finite-element study of the efficiency of arrays of oscillating water column wave energy converters

Jean-Roch Nader, Song-Ping Zhu, Paul Cooper, Brad Stappenbelt

Journal:

Ocean Engineering

Year:

2012

Language:

english

File:

PDF, 1.22 MB

english, 2012

21

Pricing puttable convertible bonds with integral equation approaches

Zhu, Song-Ping, Lin, Sha, Lu, Xiaoping

Journal:

Computers & Mathematics with Applications

Year:

2018

Language:

english

File:

PDF, 1.05 MB

english, 2018

22

Stock loan valuation under a stochastic interest rate model

Chen, Wenting, Xu, Liangbin, Zhu, Song-Ping

Journal:

Computers & Mathematics with Applications

Year:

2015

Language:

english

File:

PDF, 622 KB

english, 2015

23

A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY

Song-Ping Zhu, Guang-Hua Lian

Journal:

Mathematical Finance

Year:

2011

Language:

english

File:

PDF, 204 KB

english, 2011

24

An analytic formula for pricing American-style convertible bonds in a regime switching model

Chan, Leunglung, Zhu, Song-Ping

Journal:

IMA Journal of Management Mathematics

Year:

2015

Language:

english

File:

PDF, 412 KB

english, 2015

25

AN APPROPRIATE APPROACH TO PRICING EUROPEAN-STYLE OPTIONS WITH THE ADOMIAN DECOMPOSITION METHOD

KE, ZIWIE, GOARD, JOANNA, ZHU, SONG-PING

Journal:

The ANZIAM Journal

Year:

2018

Language:

english

File:

PDF, 306 KB

english, 2018

26

A Numerical Solution of Optimal Portfolio Selection Problem with General Utility Functions

Ma, Guiyuan, Zhu, Song-Ping, Kang, Boda

Journal:

Computational Economics

Year:

2019

Language:

english

File:

PDF, 473 KB

english, 2019

27

Pricing Parisian down-and-in options

Zhu, Song-Ping, Le, Nhat-Tan, Chen, Wenting, Lu, Xiaoping

Journal:

Applied Mathematics Letters

Year:

2015

Language:

english

File:

PDF, 367 KB

english, 2015

28

An exact and explicit solution for the valuation of American put options

Journal:

Quantitative Finance

Year:

2006

Language:

english

File:

PDF, 233 KB

english, 2006

29

How should a convertible bond be decomposed?

Song-Ping Zhu, Jing Zhang

Journal:

Decisions in Economics and Finance

Year:

2012

Language:

english

File:

PDF, 478 KB

english, 2012

30

Pricing convertible bonds based on a multi-stage compound-option model

Pu Gong, Zhiwei He, Song-Ping Zhu

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2006

Language:

english

File:

PDF, 231 KB

english, 2006

31

Application of CFD in ship engineering design practice and ship hydrodynamics

Zhang, Zhi-rong, Liu, Hui, Zhu, Song-ping, Zhao, Feng

Journal:

Journal of Hydrodynamics, Ser. B

Year:

2006

Language:

english

File:

PDF, 901 KB

english, 2006

32

Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation

Li, Peng, Lu, Xiaoping, Zhu, Song-Ping

Journal:

Computers & Mathematics with Applications

Year:

2020

File:

PDF, 798 KB

2020

33

SPIE Proceedings [SPIE SPIE Third International Symposium on Fluctuations and Noise - Austin, TX (Monday 23 May 2005)] Noise and Fluctuations in Econophysics and Finance - A closed-form exact solution for the value of American put and its optimal exercise boundary (Invited Paper)

Zhu, Song-Ping, Abbott, Derek, Bouchaud, Jean-Philippe, Gabaix, Xavier, McCauley, Joseph L.

Year:

2005

Language:

english

File:

PDF, 192 KB

english, 2005

34

A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate

He, Xin-Jiang, Zhu, Song-Ping

Journal:

Computers & Mathematics with Applications

Year:

2018

Language:

english

File:

PDF, 411 KB

english, 2018

35

A predictor–corrector approach for pricing American options under the finite moment log-stable model

Chen, Wenting, Xu, Xiang, Zhu, Song-Ping

Journal:

Applied Numerical Mathematics

Year:

2015

Language:

english

File:

PDF, 503 KB

english, 2015

36

Pricing European options with stochastic volatility under the minimal entropy martingale measure

HE, XIN-JIANG, ZHU, SONG-PING

Journal:

European Journal of Applied Mathematics

Year:

2016

Language:

english

File:

PDF, 220 KB

english, 2016

37

SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?

ZHU, SONG-PING, CHEN, WEN-TING

Journal:

International Journal of Theoretical and Applied Finance

Year:

2011

Language:

english

File:

PDF, 316 KB

english, 2011

38

Analytically pricing volatility swaps under stochastic volatility

Zhu, Song-Ping, Lian, Guang-Hua

Journal:

Journal of Computational and Applied Mathematics

Year:

2015

Language:

english

File:

PDF, 270 KB

english, 2015

39

An explicit analytic formula for pricing barrier options with regime switching

Chan, Leunglung, Zhu, Song-Ping

Journal:

Mathematics and Financial Economics

Year:

2015

Language:

english

File:

PDF, 168 KB

english, 2015

40

Structural and functional diversity of peptide toxins from tarantula Haplopelma hainanum ( Ornithoctonus hainana ) venom revealed by transcriptomic, peptidomic, and patch clamp approaches.

Zhang, Yi-Ya, Huang, Yong, He, Quan-Ze, Luo, Ji, Zhu, Li, Lu, Shan-Shan, Liu, Jin-Yan, Huang, Peng-Fei, Zeng, Xiong-Zhi, Liang, Song-Ping

Journal:

Journal of Biological Chemistry

Year:

2015

Language:

english

File:

PDF, 961 KB

english, 2015

41

Semi-Analytical Valuation for Discrete Barrier Options under Time-Dependent LLvy Processes

Lian, Guanghua, Zhu, Song-Ping, Elliott, Robert J. R., Cui, Zhenyu

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 942 KB

english, 2016

42

Variance and volatility swaps under a two-factor stochastic volatility model with regime switching

He, Xin-Jiang, Zhu, Song-Ping

Journal:

International Journal of Theoretical and Applied Finance

Year:

2019

Language:

english

File:

PDF, 495 KB

english, 2019

43

A combination of LTDRM and ATPS in solving diffusion problems

Song-Ping Zhu, Huan-Wen Liu, Xiao-Ping Lu

Journal:

Engineering Analysis with Boundary Elements

Year:

1998

Language:

english

File:

PDF, 410 KB

english, 1998

44

On the valuation of variance swaps with stochastic volatility

Song-Ping Zhu, Guang-Hua Lian

Journal:

Applied Mathematics and Computation

Year:

2012

Language:

english

File:

PDF, 426 KB

english, 2012

45

Pricing VIX options with stochastic volatility and random jumps

Guang-Hua Lian,Song-Ping Zhu

Journal:

Decisions in Economics and Finance

Year:

2013

Language:

english

File:

PDF, 353 KB

english, 2013

46

OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY

CHEN, WEN-TING, ZHU, SONG-PING

Journal:

The ANZIAM Journal

Year:

2009

Language:

english

File:

PDF, 166 KB

english, 2009

47

The dual reciprocity boundary element method for magnetohydrodynamic channel flows

Liu, Huan-Wen, Zhu, Song-Ping

Journal:

The ANZIAM Journal

Year:

2002

Language:

english

File:

PDF, 900 KB

english, 2002

48

Variance and volatility swaps under a two-factor stochastic volatility model with regime switching

He, Xin-Jiang, Zhu, Song-Ping

Journal:

International Journal of Theoretical and Applied Finance

Year:

2019

File:

PDF, 495 KB

2019

49

An analytical solution for long wave refraction over

Song-Ping Zhu, Fatimah Noor Harun

Journal:

Journal of Applied Mathematics and Computing

Year:

2009

Language:

english

File:

PDF, 810 KB

english, 2009

50

A simple approximation formula for calculating the

Journal:

Journal of Applied Mathematics and Computing

Year:

2011

Language:

english

File:

PDF, 486 KB

english, 2011

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