Continuous time mean–variance–utility portfolio problem and its equilibrium strategy.
- Published in:
- Optimization, 2022, v. 71, n. 14, p. 4213, doi. 10.1080/02331934.2021.1939339
- By:
- Publication type:
- Article
Works by Zhu, Song‐Ping
Results: 55
1
2
An analytical formula for VIX futures and its applications.
- Published in:
- Journal of Futures Markets, 2012, v. 32, n. 2, p. 166, doi. 10.1002/fut.20512
- By:
- Publication type:
- Article
3
Pricing American call options under a hard-to-borrow stock model.
- Published in:
- European Journal of Applied Mathematics, 2018, v. 29, n. 3, p. 494, doi. 10.1017/S0956792517000262
- By:
- Publication type:
- Article
4
Pricing American-style Parisian up-and-out call options.
- Published in:
- European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 1, doi. 10.1017/S0956792517000018
- By:
- Publication type:
- Article
5
Pricing European options with stochastic volatility under the minimal entropy martingale measure.
- Published in:
- European Journal of Applied Mathematics, 2016, v. 27, n. 2, p. 233, doi. 10.1017/S0956792515000510
- By:
- Publication type:
- Article
6
On the Asymptotic Behavior of the Optimal Exercise Price Near Expiry of an American Put Option under Stochastic Volatility.
- Published in:
- Journal of Risk & Financial Management, 2022, v. 15, n. 5, p. 189, doi. 10.3390/jrfm15050189
- By:
- Publication type:
- Article
7
A closed-form pricing formula for catastrophe equity options.
- Published in:
- Probability in the Engineering & Informational Sciences, 2022, v. 36, n. 4, p. 1103, doi. 10.1017/S0269964821000279
- By:
- Publication type:
- Article
8
A Note on Callability of Convertible Bonds.
- Published in:
- New Mathematics & Natural Computation, 2024, v. 20, n. 3, p. 621, doi. 10.1142/S1793005724500340
- By:
- Publication type:
- Article
9
On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures.
- Published in:
- New Mathematics & Natural Computation, 2018, v. 14, n. 3, p. 383, doi. 10.1142/S1793005718500230
- By:
- Publication type:
- Article
10
ON VARIOUS QUANTITATIVE APPROACHES FOR PRICING AMERICAN OPTIONS.
- Published in:
- New Mathematics & Natural Computation, 2011, v. 7, n. 2, p. 313, doi. 10.1142/S1793005711001950
- By:
- Publication type:
- Article
11
Pricing double-barrier Parisian options.
- Published in:
- IMA Journal of Management Mathematics, 2023, v. 34, n. 4, p. 633, doi. 10.1093/imaman/dpab045
- By:
- Publication type:
- Article
12
A new algorithm for calibrating local regime-switching models.
- Published in:
- IMA Journal of Management Mathematics, 2021, v. 32, n. 2, p. 237, doi. 10.1093/imaman/dpaa012
- By:
- Publication type:
- Article
13
Pricing resettable convertible bonds using an integral equation approach.
- Published in:
- IMA Journal of Management Mathematics, 2020, v. 31, n. 4, p. 417, doi. 10.1093/imaman/dpz015
- By:
- Publication type:
- Article
14
Robust Portfolio Optimization with Multi-Factor Stochastic Volatility.
- Published in:
- Journal of Optimization Theory & Applications, 2020, v. 186, n. 1, p. 264, doi. 10.1007/s10957-020-01687-w
- By:
- Publication type:
- Article
15
APPLICATION OF CFD IN SHIP ENGINEERING DESIGN PRACTICE AND SHIP HYDRODYNAMICS
- Published in:
- Journal of Hydrodynamics, 2006, v. 18, n. 3, p. 315, doi. 10.1016/S1001-6058(06)60072-3
- By:
- Publication type:
- Article
16
Application of CFD in ship engineering design practice and ship hydrodynamics.
- Published in:
- Journal of Hydrodynamics, 2006, v. 18, n. 1, p. 308, doi. 10.1007/BF03400465
- By:
- Publication type:
- Article
17
An alternative form to calibrate the correlated Stein–Stein option pricing model.
- Published in:
- Computational & Applied Mathematics, 2019, v. 38, n. 2, p. N.PAG, doi. 10.1007/s40314-019-0832-6
- By:
- Publication type:
- Article
18
A multiscale correction to the Black-Scholes formula.
- Published in:
- Applied Stochastic Models in Business & Industry, 2014, v. 30, n. 6, p. 753, doi. 10.1002/asmb.2006
- By:
- Publication type:
- Article
19
An exact and explicit formula for pricing lookback options with regime switching.
- Published in:
- Journal of Industrial & Management Optimization, 2023, v. 19, n. 1, p. 723, doi. 10.3934/jimo.2021203
- By:
- Publication type:
- Article
20
Modelling the Shear Behaviour of Rock Joints with Asperity Damage Under Constant Normal Stiffness.
- Published in:
- Rock Mechanics & Rock Engineering, 2015, v. 48, n. 1, p. 179, doi. 10.1007/s00603-014-0556-2
- By:
- Publication type:
- Article
21
An integral equation approach for pricing American put options under regime-switching model.
- Published in:
- International Journal of Computer Mathematics, 2023, v. 100, n. 7, p. 1454, doi. 10.1080/00207160.2023.2190828
- By:
- Publication type:
- Article
22
Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates.
- Published in:
- International Journal of Computer Mathematics, 2018, v. 95, n. 2, p. 341, doi. 10.1080/00207160.2017.1285021
- By:
- Publication type:
- Article
23
Computational methods for PDEs in finance.
- Published in:
- 2012
- By:
- Publication type:
- Editorial
24
Optimal asset allocation under search frictions and stochastic interest rate.
- Published in:
- Quantitative Finance, 2023, v. 23, n. 6, p. 1019, doi. 10.1080/14697688.2023.2199781
- By:
- Publication type:
- Article
25
A revised option pricing formula with the underlying being banned from short selling.
- Published in:
- Quantitative Finance, 2020, v. 20, n. 6, p. 935, doi. 10.1080/14697688.2020.1718193
- By:
- Publication type:
- Article
26
Optimal investment and consumption under a continuous-time cointegration model with exponential utility.
- Published in:
- Quantitative Finance, 2019, v. 19, n. 7, p. 1135, doi. 10.1080/14697688.2019.1570317
- By:
- Publication type:
- Article
27
A new integral equation formulation for American put options.
- Published in:
- Quantitative Finance, 2018, v. 18, n. 3, p. 483, doi. 10.1080/14697688.2017.1348617
- By:
- Publication type:
- Article
28
An exact and explicit solution for the valuation of American put options.
- Published in:
- Quantitative Finance, 2006, v. 6, n. 3, p. 229, doi. 10.1080/14697680600699811
- By:
- Publication type:
- Article
29
Price Connection between Parasian Options with a Moving Window and Their Fixed Window Counterparts.
- Published in:
- Journal of Derivatives, 2025, v. 32, n. 3, p. 118, doi. 10.3905/jod.2025.1.220
- By:
- Publication type:
- Article
30
Pricing callable–puttable convertible bonds with an integral equation approach.
- Published in:
- Journal of Futures Markets, 2022, v. 42, n. 10, p. 1856, doi. 10.1002/fut.22363
- By:
- Publication type:
- Article
31
Pricing variance swaps under the Hawkes jump‐diffusion process.
- Published in:
- Journal of Futures Markets, 2019, v. 39, n. 6, p. 635, doi. 10.1002/fut.21997
- By:
- Publication type:
- Article
32
On full calibration of hybrid local volatility and regime‐switching models.
- Published in:
- Journal of Futures Markets, 2018, v. 38, n. 5, p. 586, doi. 10.1002/fut.21901
- By:
- Publication type:
- Article
33
EDITORIAL: SPECIAL ISSUE ON FINANCIAL MATHEMATICS AND QUANTITATIVE FINANCE.
- Published in:
- 2021
- By:
- Publication type:
- Editorial
34
AN APPROPRIATE APPROACH TO PRICING EUROPEAN-STYLE OPTIONS WITH THE ADOMIAN DECOMPOSITION METHOD.
- Published in:
- ANZIAM Journal, 2018, v. 59, n. 3, p. 349, doi. 10.1017/S1446181117000438
- By:
- Publication type:
- Article
35
EDITORIAL: STOCHASTIC AND COMPUTATIONAL METHODS IN FINANCE.
- Published in:
- ANZIAM Journal, 2016, v. 57, n. 3, p. 205, doi. 10.1017/S1446181115000462
- By:
- Publication type:
- Article
36
AN ANALYTICAL SOLUTION FOR PARISIAN UP-AND-IN CALLS.
- Published in:
- ANZIAM Journal, 2016, v. 57, n. 3, p. 269, doi. 10.1017/S1446181115000267
- By:
- Publication type:
- Article
37
A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL.
- Published in:
- ANZIAM Journal, 2014, v. 56, n. 1, p. 1, doi. 10.1017/S1446181114000236
- By:
- Publication type:
- Article
38
A comparative study of the direct boundary element method and the dual reciprocity boundary element method in solving the Helmholtz equation.
- Published in:
- ANZIAM Journal, 2007, v. 49, n. 1, p. 131, doi. 10.1017/S1446181100012724
- By:
- Publication type:
- Article
39
A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield.
- Published in:
- ANZIAM Journal, 2006, v. 47, n. 4, p. 477, doi. 10.1017/S1446181100010087
- By:
- Publication type:
- Article
40
The dual reciprocity boundary element method for magnetohydrodynamic channel flows.
- Published in:
- ANZIAM Journal, 2002, v. 44, n. 2, p. 305, doi. 10.1017/S1446181100013961
- By:
- Publication type:
- Article
41
PARASIAN OVER PARISIAN, HOW MUCH EARLIER SHOULD ONE EXERCISE?
- Published in:
- International Journal of Theoretical & Applied Finance, 2024, v. 27, n. 5/6, p. 1, doi. 10.1142/S0219024924500225
- By:
- Publication type:
- Article
42
VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH.
- Published in:
- International Journal of Theoretical & Applied Finance, 2022, v. 25, n. 4/5, p. 1, doi. 10.1142/S0219024922500224
- By:
- Publication type:
- Article
43
AN EMPIRICAL ANALYSIS OF OPTION PRICING WITH SHORT SELL BANS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2022, v. 25, n. 3, p. 1, doi. 10.1142/S0219024922500121
- By:
- Publication type:
- Article
44
VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING.
- Published in:
- International Journal of Theoretical & Applied Finance, 2019, v. 22, n. 4, p. N.PAG, doi. 10.1142/S0219024919500092
- By:
- Publication type:
- Article
45
SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
- Published in:
- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 8, p. 1279, doi. 10.1142/S0219024911006851
- By:
- Publication type:
- Article
46
CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA.
- Published in:
- International Journal of Theoretical & Applied Finance, 2007, v. 10, n. 7, p. 1203, doi. 10.1142/S0219024907004615
- By:
- Publication type:
- Article
47
A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2006, v. 9, n. 7, p. 1141, doi. 10.1142/S0219024906003962
- By:
- Publication type:
- Article
48
A new closed-form formula for pricing European options under a skew Brownian motion.
- Published in:
- European Journal of Finance, 2018, v. 24, n. 12, p. 1063, doi. 10.1080/1351847X.2017.1339104
- By:
- Publication type:
- Article
49
A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY.
- Published in:
- Mathematical Finance, 2011, v. 21, n. 2, p. 233, doi. 10.1111/j.1467-9965.2010.00436.x
- By:
- Publication type:
- Article
50
A hybrid computational approach for option pricing.
- Published in:
- International Journal of Financial Engineering, 2018, v. 5, n. 3, p. N.PAG, doi. 10.1142/S2424786318500214
- By:
- Publication type:
- Article