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2020 – today
- 2025
[j42]Yawen Zheng
, Song-Ping Zhu:
A generalized integral equation formulation for pricing American options under regime-switching model. J. Comput. Appl. Math. 453: 116016 (2025)- 2024
- [j41]Yossi Shvimer, Song-Ping Zhu:
Pricing options with a new hybrid neural network model. Expert Syst. Appl. 251: 123979 (2024) - [j40]Song-Ping Zhu, Lin Ai:
A Note on Callability of Convertible Bonds. New Math. Nat. Comput. 20(3): 621-646 (2024) - 2023
- [j39]Song-Ping Zhu, Yawen Zheng:
An integral equation approach for pricing American put options under regime-switching model. Int. J. Comput. Math. 100(7): 1454-1479 (2023) - 2022
- [j38]Xiaoping Lu, Dong Yan, Song-Ping Zhu:
Optimal exercise of American puts with transaction costs under utility maximization. Appl. Math. Comput. 415: 126684 (2022) - [j37]Puneet Pasricha, Song-Ping Zhu, Xin-Jiang He:
A closed-form pricing formula for European options with market liquidity risk. Expert Syst. Appl. 189: 116128 (2022) - [j36]Xin-Jiang He, Song-Ping Zhu:
Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model. Expert Syst. Appl. 206: 117880 (2022) - 2021
- [j35]Xiaoping Lu, Song-Ping Zhu, Dong Yan:
Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility. Commun. Nonlinear Sci. Numer. Simul. 103: 105986 (2021) - [j34]Puneet Pasricha, Xiaoping Lu, Song-Ping Zhu:
A note on the calculation of default probabilities in "Structural credit risk modeling with Hawkes jump-diffusion processes". J. Comput. Appl. Math. 381: 113037 (2021) - 2020
- [j33]Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu, Robert J. Elliott:
Optimal portfolio execution problem with stochastic price impact. Autom. 112 (2020) - [j32]Sha Lin, Song-Ping Zhu:
Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme. Comput. Math. Appl. 79(5): 1393-1419 (2020) - [j31]Peng Li, Xiaoping Lu, Song-Ping Zhu:
Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation. Comput. Math. Appl. 79(12): 3394-3409 (2020) - [j30]Dong Yan, Song-Ping Zhu, Xiaoping Lu:
A numerical study of the utility-indifference approach for pricing American options. Comput. Math. Appl. 80(5): 894-905 (2020) - [j29]Ben-Zhang Yang, Xiaoping Lu, Guiyuan Ma, Song-Ping Zhu:
Robust Portfolio Optimization with Multi-Factor Stochastic Volatility. J. Optim. Theory Appl. 186(1): 264-298 (2020)
2010 – 2019
- 2019
- [j28]Guiyuan Ma, Song-Ping Zhu, Wenting Chen:
Pricing European call options under a hard-to-borrow stock model. Appl. Math. Comput. 357: 243-257 (2019) - [j27]Xin-Jiang He, Song-Ping Zhu:
An alternative form to calibrate the correlated Stein-Stein option pricing model. Comput. Appl. Math. 38(2) (2019) - [j26]Xiang-Chen Zeng, Song-Ping Zhu:
A new simple tree approach for the Heston's stochastic volatility model. Comput. Math. Appl. 78(6): 1993-2010 (2019) - [j25]Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu:
Dynamic portfolio choice with return predictability and transaction costs. Eur. J. Oper. Res. 278(3): 976-988 (2019) - 2018
- [j24]Song-Ping Zhu, Xin-Jiang He:
A modified Black-Scholes pricing formula for European options with bounded underlying prices. Comput. Math. Appl. 75(5): 1635-1647 (2018) - [j23]Song-Ping Zhu, Sha Lin, Xiaoping Lu:
Pricing puttable convertible bonds with integral equation approaches. Comput. Math. Appl. 75(8): 2757-2781 (2018) - [j22]Xin-Jiang He, Song-Ping Zhu:
A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate. Comput. Math. Appl. 76(9): 2223-2234 (2018) - [j21]Jingtang Ma, Hongji Tang, Song-Ping Zhu:
Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates. Int. J. Comput. Math. 95(2): 341-360 (2018) - [j20]Xin-Jiang He, Song-Ping Zhu:
A closed-form pricing formula for European options under the Heston model with stochastic interest rate. J. Comput. Appl. Math. 335: 323-333 (2018) - [j19]Song-Ping Zhu, Guang-Hua Lian:
On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures. New Math. Nat. Comput. 14(3): 383-401 (2018) - 2016
- [j18]Nhat-Tan Le, Song-Ping Zhu, Xiaoping Lu:
An integral equation approach for the valuation of American-style down-and-out calls with rebates. Comput. Math. Appl. 71(2): 544-564 (2016) - [j17]Xin-Jiang He, Song-Ping Zhu:
An alternative form used to calibrate the Heston option pricing model. Comput. Math. Appl. 71(9): 1831-1842 (2016) - 2015
- [j16]Song-Ping Zhu, Guang-Hua Lian:
Pricing forward-start variance swaps with stochastic volatility. Appl. Math. Comput. 250: 920-933 (2015) - [j15]Song-Ping Zhu, Nhat-Tan Le, Wen-Ting Chen, Xiaoping Lu:
Pricing Parisian down-and-in options. Appl. Math. Lett. 43: 19-24 (2015) - [j14]Wen-Ting Chen, Xiang Xu, Song-Ping Zhu:
Analytically pricing double barrier options based on a time-fractional Black-Scholes equation. Comput. Math. Appl. 69(12): 1407-1419 (2015) - [j13]Wen-Ting Chen, Liangbin Xu, Song-Ping Zhu:
Stock loan valuation under a stochastic interest rate model. Comput. Math. Appl. 70(8): 1757-1771 (2015) - [j12]Song-Ping Zhu, Guang-Hua Lian:
Analytically pricing volatility swaps under stochastic volatility. J. Comput. Appl. Math. 288: 332-340 (2015) - 2012
- [j11]Song-Ping Zhu, Guang-Hua Lian:
On the valuation of variance swaps with stochastic volatility. Appl. Math. Comput. 219(4): 1654-1669 (2012) - [j10]Sanae Rujivan, Song-Ping Zhu:
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility. Appl. Math. Lett. 25(11): 1644-1650 (2012) - [j9]Wen-Ting Chen, Song-Ping Zhu:
Pricing perpetual American puts under multi-scale stochastic volatility. Asymptot. Anal. 80(1-2): 133-148 (2012) - [j8]Song-Ping Zhu, Alexander Badran, Xiaoping Lu:
A new exact solution for pricing European options in a two-state regime-switching economy. Comput. Math. Appl. 64(8): 2744-2755 (2012) - [j7]Jari Toivanen, Cornelis W. Oosterlee, Song-Ping Zhu:
Computational methods for PDEs in finance. Int. J. Comput. Math. 89(9): 1093 (2012) - 2011
- [j6]Song-Ping Zhu, Jin Zhang:
A new predictor-corrector scheme for valuing American puts. Appl. Math. Comput. 217(9): 4439-4452 (2011) - [j5]Song-Ping Zhu, Wen-Ting Chen:
A spectral-collocation method for pricing perpetual American puts with stochastic volatility. Appl. Math. Comput. 217(22): 9033-9040 (2011) - [j4]Song-Ping Zhu, Wen-Ting Chen:
Pricing perpetual American options under a stochastic-volatility model with fast mean reversion. Appl. Math. Lett. 24(10): 1663-1669 (2011) - [j3]Song-Ping Zhu, Wen-Ting Chen:
A predictor-corrector scheme based on the ADI method for pricing American puts with stochastic volatility. Comput. Math. Appl. 62(1): 1-26 (2011) - 2010
- [j2]Song-Ping Zhu, Wen-Ting Chen:
A new analytical approximation for European puts with stochastic volatility. Appl. Math. Lett. 23(6): 687-692 (2010)
1990 – 1999
- 1998
- [j1]Song-Ping Zhu, Huan-Wen Liu:
On the application of multiquadric bases in conjunction with the LTDRM method to solve nonlinear diffusion equations. Appl. Math. Comput. 96(2-3): 161-175 (1998)
Coauthor Index
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