Song-Ping Zhu

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Yawen Zheng

Int. J. Comput. Math., July, 2023

A closed-form pricing formula for European options with market liquidity risk.

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Puneet Pasricha

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Expert Syst. Appl., 2022

Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model.

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Expert Syst. Appl., 2022

Optimal exercise of American puts with transaction costs under utility maximization.

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Dong Yan

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Appl. Math. Comput., 2022

A note on the calculation of default probabilities in "Structural credit risk modeling with Hawkes jump-diffusion processes".

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Puneet Pasricha

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J. Comput. Appl. Math., 2021

Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility.

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Dong Yan

Commun. Nonlinear Sci. Numer. Simul., 2021

Robust Portfolio Optimization with Multi-Factor Stochastic Volatility.

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J. Optim. Theory Appl., 2020

A numerical study of the utility-indifference approach for pricing American options.

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Dong Yan

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Comput. Math. Appl., 2020

Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme.

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Sha Lin

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Comput. Math. Appl., 2020

Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation.

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[DOI]

Peng Li

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Comput. Math. Appl., 2020

Optimal portfolio execution problem with stochastic price impact.

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Autom., 2020

Dynamic portfolio choice with return predictability and transaction costs.

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[DOI]

Guiyuan Ma

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Chi Chung Siu

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Eur. J. Oper. Res., 2019

A new simple tree approach for the Heston's stochastic volatility model.

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Xiang-Chen Zeng

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Comput. Math. Appl., 2019

An alternative form to calibrate the correlated Stein-Stein option pricing model.

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Comput. Appl. Math., 2019

Pricing European call options under a hard-to-borrow stock model.

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[DOI]

Guiyuan Ma

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Wenting Chen

Appl. Math. Comput., 2019

On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures.

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New Math. Nat. Comput., 2018

A closed-form pricing formula for European options under the Heston model with stochastic interest rate.

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J. Comput. Appl. Math., 2018

Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates.

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Jingtang Ma

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Hongji Tang

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Int. J. Comput. Math., 2018

Pricing puttable convertible bonds with integral equation approaches.

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Sha Lin

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Comput. Math. Appl., 2018

A modified Black-Scholes pricing formula for European options with bounded underlying prices.

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Comput. Math. Appl., 2018

A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate.

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Comput. Math. Appl., 2018

An integral equation approach for the valuation of American-style down-and-out calls with rebates.

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Nhat-Tan Le

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Comput. Math. Appl., 2016

An alternative form used to calibrate the Heston option pricing model.

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Comput. Math. Appl., 2016

Analytically pricing volatility swaps under stochastic volatility.

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J. Comput. Appl. Math., 2015

Stock loan valuation under a stochastic interest rate model.

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Liangbin Xu

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Comput. Math. Appl., 2015

Analytically pricing double barrier options based on a time-fractional Black-Scholes equation.

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Xiang Xu

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Comput. Math. Appl., 2015

Pricing Parisian down-and-in options.

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Appl. Math. Lett., 2015

Pricing forward-start variance swaps with stochastic volatility.

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Appl. Math. Comput., 2015

Computational methods for PDEs in finance.

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Jari Toivanen

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Cornelis W. Oosterlee

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Int. J. Comput. Math., 2012

A new exact solution for pricing European options in a two-state regime-switching economy.

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Alexander Badran

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Comput. Math. Appl., 2012

Pricing perpetual American puts under multi-scale stochastic volatility.

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Asymptot. Anal., 2012

A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility.

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Sanae Rujivan

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Appl. Math. Lett., 2012

On the valuation of variance swaps with stochastic volatility.

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Appl. Math. Comput., 2012

A predictor-corrector scheme based on the ADI method for pricing American puts with stochastic volatility.

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Comput. Math. Appl., 2011

Pricing perpetual American options under a stochastic-volatility model with fast mean reversion.

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Appl. Math. Lett., 2011

A new predictor-corrector scheme for valuing American puts.

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Jin Zhang

Appl. Math. Comput., 2011

A spectral-collocation method for pricing perpetual American puts with stochastic volatility.

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Appl. Math. Comput., 2011

A new analytical approximation for European puts with stochastic volatility.

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Appl. Math. Lett., 2010

On the application of multiquadric bases in conjunction with the LTDRM method to solve nonlinear diffusion equations.

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