1. A closed-form pricing formula for catastrophe equity options. Issue 4 (October 2022) Authors: Pasricha, Puneet; Goel, Anubha; Zhu, Song-Ping Journal: Probability in the engineering and informational sciences Issue: Volume 36:Issue 4(2022) Page Start: 1103 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
2. A closed-form pricing formula for European options with market liquidity risk. (1st March 2022) Authors: Pasricha, Puneet; Zhu, Song-Ping; He, Xin-Jiang Journal: Expert systems with applications Issue: Volume 189(2022) Page Start: Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
3. A modified Black–Scholes pricing formula for European options with bounded underlying prices. (1st March 2018) Authors: Zhu, Song-Ping; He, Xin-Jiang Journal: Computers & mathematics with applications Issue: Volume 75:issue 5(2018) Page Start: 1635 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
4. A new algorithm for calibrating local regime-switching models. (27th July 2020) Authors: He, Xin-Jiang; Zhu, Song-Ping Journal: IMA journal of management mathematics Issue: Volume 32:Number 2(2021) Page Start: 237 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
5. A new closed-form formula for pricing European options under a skew Brownian motion. Issue 12 (13th August 2018) Authors: Zhu, Song-Ping; He, Xin-Jiang Journal: European journal of finance Issue: Volume 24:Issue 12(2018) Page Start: 1063 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
6. A new integral equation formulation for American put options. Issue 3 (4th March 2018) Authors: Zhu, Song-Ping; He, Xin-Jiang; Lu, XiaoPing Journal: Quantitative finance Issue: Volume 18:Issue 3(2018) Page Start: 483 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
7. A new simple tree approach for the Heston's stochastic volatility model. (15th September 2019) Authors: Zeng, Xiang-Chen; Zhu, Song-Ping Journal: Computers & mathematics with applications Issue: Volume 78:issue 6(2019) Page Start: 1993 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
8. A numerical study of the utility-indifference approach for pricing American options. (1st September 2020) Authors: Yan, Dong; Zhu, Song-Ping; Lu, Xiaoping Journal: Computers & mathematics with applications Issue: Volume 80:issue 5(2020) Page Start: 894 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
9. A revised option pricing formula with the underlying being banned from short selling. Issue 6 (2nd June 2020) Authors: He, Xin-Jiang; Zhu, Song-Ping Journal: Quantitative finance Issue: Volume 20:Issue 6(2020) Page Start: 935 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
10. A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate. (1st November 2018) Authors: He, Xin-Jiang; Zhu, Song-Ping Journal: Computers & mathematics with applications Issue: Volume 76:issue 9(2018) Page Start: 2223 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗