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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

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

6

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

7

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

8

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

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

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

11

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

12

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

13

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

14

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

15

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

16

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

17

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

18

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

19

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

20

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

21

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

22

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

23

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

24

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

25

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

26

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

27

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

28

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

29

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

30

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

31

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

32

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

33

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

34

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

35

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

36

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

37

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

38

An analytical formula for VIX futures and its applications

Song-Ping Zhu, Guang-Hua Lian

Journal:

Journal of Futures Markets

Year:

2012

Language:

english

File:

PDF, 312 KB

english, 2012

39

A perturbation DRBEM model for weakly nonlinear wave run-ups around islands

Song-Ping Zhu, Huan-Wen Liu, Timothy R. Marchant

Journal:

Engineering Analysis with Boundary Elements

Year:

2009

Language:

english

File:

PDF, 608 KB

english, 2009

40

A spectral-collocation method for pricing perpetual American puts with stochastic volatility

Song-Ping Zhu, Wen-Ting Chen

Journal:

Applied Mathematics and Computation

Year:

2011

Language:

english

File:

PDF, 216 KB

english, 2011

41

Pricing perpetual American options under a stochastic-volatility model with fast mean reversion

Song-Ping Zhu, Wen-Ting Chen

Journal:

Applied Mathematics Letters

Year:

2011

Language:

english

File:

PDF, 234 KB

english, 2011

42

A predictor–corrector scheme based on the ADI method for pricing American puts with stochastic volatility

Song-Ping Zhu, Wen-Ting Chen

Journal:

Computers & Mathematics with Applications

Year:

2011

Language:

english

File:

PDF, 1016 KB

english, 2011

43

An explicit series approximation to the optimal exercise boundary of American put options

Jun Cheng, Song-Ping Zhu, Shi-Jun Liao

Journal:

Communications in Nonlinear Science and Numerical Simulation

Year:

2010

Language:

english

File:

PDF, 329 KB

english, 2010

44

Diffraction of ocean waves around a hollow cylindrical shell structure

Song-Ping Zhu, Lewis Mitchell

Journal:

Year:

2009

Language:

english

File:

PDF, 1.10 MB

english, 2009

45

On the application of multiquadric bases in conjunction with the LTDRM method to solve nonlinear diffusion equations

Song-Ping Zhu, Huan-Wen Liu

Journal:

Applied Mathematics and Computation

Year:

1998

Language:

english

File:

PDF, 684 KB

english, 1998

46

Resonant transcritical flow over a wavy bed

Yinglong Zhang, Song-Ping Zhu

Journal:

Year:

1997

Language:

english

File:

PDF, 562 KB

english, 1997

47

Modelling the confinement of spilled oil with floating booms

Song-Ping Zhu, Dmitry Strunin

Journal:

Applied Mathematical Modelling

Year:

2001

Language:

english

File:

PDF, 202 KB

english, 2001

48

A general DRBEM model for wave refraction and diffraction

Song-Ping Zhu, Huan-Wen Liu, Ke Chen

Journal:

Engineering Analysis with Boundary Elements

Year:

2000

Language:

english

File:

PDF, 738 KB

english, 2000

49

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

50

Bacillus zhanjiangensissp. nov., isolated from an oyster in South China Sea

Yi-Guang Chen, Song-Ping Hu, Shu-Kun Tang, Jian-Wu He, Jian-Qing Xiao, Hong-Yi Zhu, Wen-Jun Li

Journal:

Antonie van Leeuwenhoek

Year:

2011

Language:

english

File:

PDF, 250 KB

english, 2011

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