Song-Ping Zhu
University of Wollongong
H-index: 34
Oceania-Australia
Top articles of Song-Ping Zhu
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Pricing options with a new hybrid neural network model | Expert Systems with Applications | Yossi Shvimer Song-Ping Zhu | 2024/4/16 |
Pricing double-barrier Parisian options | IMA Journal of Management Mathematics | Chun-Yang Liu Song-Ping Zhu Shu-Hua Zhang | 2023/10 |
An integral equation approach for pricing American put options under regime-switching model | International Journal of Computer Mathematics | Song-Ping Zhu Yawen Zheng | 2023/7/3 |
Optimal asset allocation under search frictions and stochastic interest rate | Quantitative Finance | Ning Wang Song-Ping Zhu Robert J Elliott | 2023/6/3 |
A note on callability of convertible bonds | New Mathematics and Natural Computation | Song Ping Zhu Lin Ai | 2023 |
Revisiting the Merton Problem: from HARA to CARA utility | Computational Economics | Guiyuan Ma Song-Ping Zhu | 2021/2 |
Portfolio choice with return predictability and small trading frictions | Economic Modelling | Guiyuan Ma Chi Chung Siu Song-Ping Zhu | 2022/6/1 |
Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model | Expert Systems with Applications | Xin-Jiang He Song-Ping Zhu | 2022/11/15 |
An empirical analysis of option pricing with short sell bans | International Journal of Theoretical and Applied Finance | Mesias Alfeus Xin-Jiang He Song-Ping Zhu | 2022/5/19 |
Pricing callable–puttable convertible bonds with an integral equation approach | Journal of Futures Markets | Sha Lin Song‐Ping Zhu | 2022/10 |
On the Asymptotic Behavior of the Optimal Exercise Price Near Expiry of an American Put Option under Stochastic Volatility | Journal of Risk and Financial Management | Wenting Chen Song-Ping Zhu | 2022/4/19 |
A closed-form pricing formula for catastrophe equity options | Probability in the Engineering and Informational Sciences | Puneet Pasricha Anubha Goel Song-Ping Zhu | 2022/10 |
A closed-form pricing formula for European options in an illiquid asset market | Mathematics and Financial Economics | Xin-Jiang He Wenting Chen | 2021/3 |
A generalized approach for pricing American options under regime-switching model | Available at SSRN 4227431 | Yawen Zheng Song-Ping Zhu | 2022/9/23 |
Optimal exercise of American puts with transaction costs under utility maximization | Applied mathematics and computation | Xiaoping Lu Dong Yan Song-Ping Zhu | 2022/2/15 |
Valuation of general contingent claims with short selling bans: An equal-risk pricing approach | International Journal of Theoretical and Applied Finance | Guiyuan Ma Song-Ping Zhu Ivan Guo | 2022/6/13 |
Continuous time mean–variance–utility portfolio problem and its equilibrium strategy | Optimization | Ben-Zhang Yang Xin-Jiang He Song-Ping Zhu | 2022/12/9 |
Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility | Communications in Nonlinear Science and Numerical Simulation | Xiaoping Lu Song-Ping Zhu Dong Yan | 2021/12/1 |
An analytic approach for pricing american options with regime switching | Journal of Risk and Financial Management | Leunglung Chan Song-Ping Zhu | 2021/4/21 |
SPECIAL ISSUE ON FINANCIAL MATHEMATICS AND QUANTITATIVE FINANCE | The ANZIAM Journal | Song-Ping Zhu Xiaoping Lu Xin-Jiang He | 2021/4 |
Co-Authors
