Xin-Jiang He

Xuanmeng Lin

J. Comput. Appl. Math., April, 2024

2023

Exchange options with stochastic liquidity risk.

[BibT_eX]

[DOI]

Puneet Pasricha

Expert Syst. Appl., August, 2023

Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching.

[BibT_eX]

[DOI]

Expert Syst. Appl., May, 2023

A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing.

[BibT_eX]

[DOI]

Expert Syst. Appl., 2023

2022

A closed-form pricing formula for variance swaps under a stochastic volatility model with a stochastic mean-reversion level.

[BibT_eX]

[DOI]

Soft Comput., 2022

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

[BibT_eX]

[DOI]

Puneet Pasricha

Expert Syst. Appl., 2022

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

[BibT_eX]

[DOI]

Expert Syst. Appl., 2022

An accurate approximation to barrier option prices with discrete fixed-amount dividends: Nonlinear dynamics.

[BibT_eX]

[DOI]

Expert Syst. Appl., 2022

Pricing credit default swaps with Parisian and Par<i>asian</i> default mechanics.

[BibT_eX]

[DOI]

Wenting Chen

Commun. Stat. Simul. Comput., 2022

2021

A new integral equation approach for pricing American-style barrier options with rebates.

[BibT_eX]

[DOI]

J. Comput. Appl. Math., 2021

A fractional Black-Scholes model with stochastic volatility and European option pricing.

[BibT_eX]

[DOI]

Expert Syst. Appl., 2021

2020

A regime switching fractional Black-Scholes model and European option pricing.

[BibT_eX]

[DOI]

Commun. Nonlinear Sci. Numer. Simul., 2020

2019

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

[BibT_eX]

[DOI]

Comput. Appl. Math., 2019

2018

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

[BibT_eX]

[DOI]

J. Comput. Appl. Math., 2018

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

[BibT_eX]

[DOI]

Comput. Math. Appl., 2018

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

[BibT_eX]

[DOI]

Comput. Math. Appl., 2018

A Monte-Carlo based approach for pricing credit default swaps with regime switching.

[BibT_eX]

[DOI]

Wenting Chen

Comput. Math. Appl., 2018

2016

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

[BibT_eX]

[DOI]