Song-Ping Zhu

43 papers Journal 43
YearRankTypeTitle / Venue / Authors
2026 J jnl
A new closed-form solution for optimal portfolio selection with liquidity risk.
Math. Model. Anal.
Dhruv Goel, Song-Ping Zhu
2025 J jnl
A generalized integral equation formulation for pricing American options under regime-switching model.
J. Comput. Appl. Math.
Yawen Zheng, Song-Ping Zhu
2024 J jnl
A Note on Callability of Convertible Bonds.
New Math. Nat. Comput.
Song-Ping Zhu, Lin Ai
2024 J jnl
Pricing options with a new hybrid neural network model.
Expert Syst. Appl.
Yossi Shvimer, Song-Ping Zhu
2023 J jnl
An integral equation approach for pricing American put options under regime-switching model.
Int. J. Comput. Math.
Song-Ping Zhu, Yawen Zheng
2022 J jnl
A closed-form pricing formula for European options with market liquidity risk.
Expert Syst. Appl.
Puneet Pasricha, Song-Ping Zhu, Xin-Jiang He
2022 J jnl
Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model.
Expert Syst. Appl.
Xin-Jiang He, Song-Ping Zhu
2022 J jnl
Optimal exercise of American puts with transaction costs under utility maximization.
Appl. Math. Comput.
Xiaoping Lu, Dong Yan, Song-Ping Zhu
2021 J jnl
A note on the calculation of default probabilities in "Structural credit risk modeling with Hawkes jump-diffusion processes".
J. Comput. Appl. Math.
Puneet Pasricha, Xiaoping Lu, Song-Ping Zhu
2021 J jnl
Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility.
Commun. Nonlinear Sci. Numer. Simul.
Xiaoping Lu, Song-Ping Zhu, Dong Yan
2020 J jnl
A numerical study of the utility-indifference approach for pricing American options.
Comput. Math. Appl.
Dong Yan, Song-Ping Zhu, Xiaoping Lu
2020 J jnl
Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme.
Comput. Math. Appl.
Sha Lin, Song-Ping Zhu
2020 J jnl
Optimal portfolio execution problem with stochastic price impact.
Autom.
Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu, Robert J. Elliott
2020 J jnl
Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation.
Comput. Math. Appl.
Peng Li, Xiaoping Lu, Song-Ping Zhu
2020 J jnl
Robust Portfolio Optimization with Multi-Factor Stochastic Volatility.
J. Optim. Theory Appl.
Ben-Zhang Yang, Xiaoping Lu, Guiyuan Ma, Song-Ping Zhu
2019 J jnl
A new simple tree approach for the Heston's stochastic volatility model.
Comput. Math. Appl.
Xiang-Chen Zeng, Song-Ping Zhu
2019 J jnl
An alternative form to calibrate the correlated Stein-Stein option pricing model.
Comput. Appl. Math.
Xin-Jiang He, Song-Ping Zhu
2019 J jnl
Dynamic portfolio choice with return predictability and transaction costs.
Eur. J. Oper. Res.
Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu
2019 J jnl
Pricing European call options under a hard-to-borrow stock model.
Appl. Math. Comput.
Guiyuan Ma, Song-Ping Zhu, Wenting Chen
2018 J jnl
A closed-form pricing formula for European options under the Heston model with stochastic interest rate.
J. Comput. Appl. Math.
Xin-Jiang He, Song-Ping Zhu
2018 J jnl
A modified Black-Scholes pricing formula for European options with bounded underlying prices.
Comput. Math. Appl.
Song-Ping Zhu, Xin-Jiang He
2018 J jnl
A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate.
Comput. Math. Appl.
Xin-Jiang He, Song-Ping Zhu
2018 J jnl
Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates.
Int. J. Comput. Math.
Jingtang Ma, Hongji Tang, Song-Ping Zhu
2018 J jnl
On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures.
New Math. Nat. Comput.
Song-Ping Zhu, Guang-Hua Lian
2018 J jnl
Pricing puttable convertible bonds with integral equation approaches.
Comput. Math. Appl.
Song-Ping Zhu, Sha Lin, Xiaoping Lu
2016 J jnl
An alternative form used to calibrate the Heston option pricing model.
Comput. Math. Appl.
Xin-Jiang He, Song-Ping Zhu
2016 J jnl
An integral equation approach for the valuation of American-style down-and-out calls with rebates.
Comput. Math. Appl.
Nhat-Tan Le, Song-Ping Zhu, Xiaoping Lu
2015 J jnl
Analytically pricing double barrier options based on a time-fractional Black-Scholes equation.
Comput. Math. Appl.
Wen-Ting Chen, Xiang Xu, Song-Ping Zhu
2015 J jnl
Analytically pricing volatility swaps under stochastic volatility.
J. Comput. Appl. Math.
Song-Ping Zhu, Guang-Hua Lian
2015 J jnl
Pricing Parisian down-and-in options.
Appl. Math. Lett.
Song-Ping Zhu, Nhat-Tan Le, Wen-Ting Chen, Xiaoping Lu
2015 J jnl
Pricing forward-start variance swaps with stochastic volatility.
Appl. Math. Comput.
Song-Ping Zhu, Guang-Hua Lian
2015 J jnl
Stock loan valuation under a stochastic interest rate model.
Comput. Math. Appl.
Wen-Ting Chen, Liangbin Xu, Song-Ping Zhu
2012 J jnl
A new exact solution for pricing European options in a two-state regime-switching economy.
Comput. Math. Appl.
Song-Ping Zhu, Alexander Badran, Xiaoping Lu
2012 J jnl
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility.
Appl. Math. Lett.
Sanae Rujivan, Song-Ping Zhu
2012 J jnl
Computational methods for PDEs in finance.
Int. J. Comput. Math.
Jari Toivanen, Cornelis W. Oosterlee, Song-Ping Zhu
2012 J jnl
On the valuation of variance swaps with stochastic volatility.
Appl. Math. Comput.
Song-Ping Zhu, Guang-Hua Lian
2012 J jnl
Pricing perpetual American puts under multi-scale stochastic volatility.
Asymptot. Anal.
Wen-Ting Chen, Song-Ping Zhu
2011 J jnl
A new predictor-corrector scheme for valuing American puts.
Appl. Math. Comput.
Song-Ping Zhu, Jin Zhang
2011 J jnl
A predictor-corrector scheme based on the ADI method for pricing American puts with stochastic volatility.
Comput. Math. Appl.
Song-Ping Zhu, Wen-Ting Chen
2011 J jnl
A spectral-collocation method for pricing perpetual American puts with stochastic volatility.
Appl. Math. Comput.
Song-Ping Zhu, Wen-Ting Chen
2011 J jnl
Pricing perpetual American options under a stochastic-volatility model with fast mean reversion.
Appl. Math. Lett.
Song-Ping Zhu, Wen-Ting Chen
2010 J jnl
A new analytical approximation for European puts with stochastic volatility.
Appl. Math. Lett.
Song-Ping Zhu, Wen-Ting Chen
1998 J jnl
On the application of multiquadric bases in conjunction with the LTDRM method to solve nonlinear diffusion equations.
Appl. Math. Comput.
Song-Ping Zhu, Huan-Wen Liu