Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks

von He, Xin-Jiang
Veröffentlicht in The North American journal of economics and finance (2023)

Skew-Brownian motion and pricing European exchange options

von Pasricha, Puneet
Veröffentlicht in International review of financial analysis (2022)

How should a local regime-switching model be calibrated?

von He, Xin-Jiang
Veröffentlicht in Journal of economic dynamics & control (2017)

Variance and volatility swaps under a two-factor stochastic volatility model with regime switching

von He, Xin-Jiang
Veröffentlicht in International journal of theoretical and applied finance (2019)

An accurate approximation formula for pricing European options with discrete dividend payments

von Zhu, Song-Ping
Veröffentlicht in Institute of Mathematics and Its Applications IMA journal of management mathematics (2018)

An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching

von He, Xin-Jiang
Veröffentlicht in Journal of economic dynamics & control (2016)

A new closed-form formula for pricing European options under a skew Brownian motion

von Zhu, Song-Ping
Veröffentlicht in The European journal of finance (2018)

A hybrid computational approach for option pricing

von Zhu, Song-Ping
Veröffentlicht in International journal of financial engineering (2018)

A new integral equation formulation for American put options

von Zhu, Song-Ping
Veröffentlicht in Quantitative finance (2018)