The pricing of credit default swaps under a generalized mixed fractional Brownian motion. Zbl 1402.91847
He, Xinjiang; Chen, Wenting |
|
2014
|
A closed-form pricing formula for European options under the Heston model with stochastic interest rate. Zbl 1408.91215
He, Xin-Jiang; Zhu, Song-Ping |
|
2018
|
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. Zbl 1460.91269
He, Xin-Jiang; Chen, Wenting |
|
2021
|
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching. Zbl 1401.91531
He, Xin-Jiang; Zhu, Song-Ping |
|
2016
|
How should a local regime-switching model be calibrated? Zbl 1401.91493
He, Xin-Jiang; Zhu, Song-Ping |
|
2017
|
Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching. Zbl 07495790
He, Xin-Jiang; Chen, Wenting |
|
2022
|
A new integral equation formulation for American put options. Zbl 1400.91627
Zhu, Song-Ping; He, Xin-Jiang; Lu, Xiaoping |
|
2018
|
A regime switching fractional Black-Scholes model and European option pricing. Zbl 1448.91299
Lin, Sha; He, Xin-Jiang |
|
2020
|
A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model. Zbl 1498.91453
Lin, Sha; He, Xin-Jiang |
|
2021
|
Pricing credit default swaps under a multi-scale stochastic volatility model. Zbl 1400.91584
Chen, Wenting; He, Xinjiang |
|
2017
|
A new integral equation approach for pricing American-style barrier options with rebates. Zbl 1448.91298
Lin, Sha; He, Xin-Jiang |
|
2021
|
Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching. Zbl 07571817
Lin, Sha; He, Xin-Jiang |
|
2020
|
Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory. Zbl 1471.91519
Yang, Ben-Zhang; He, Xin-Jiang; Huang, Nan-Jing |
|
2021
|
Pricing European options with stochastic volatility under the minimal entropy martingale measure. Zbl 1408.91214
He, Xin-Jiang; Zhu, Song-Ping |
|
2016
|
A Monte-Carlo based approach for pricing credit default swaps with regime switching. Zbl 1431.91435
He, Xin-Jiang; Chen, Wenting |
|
2018
|
A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate. Zbl 1442.91102
He, Xin-Jiang; Zhu, Song-Ping |
|
2018
|
A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching. Zbl 1505.91382
He, Xin-Jiang; Lin, Sha |
|
2023
|
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching. Zbl 1411.91557
He, Xin-Jiang; Zhu, Song-Ping |
|
2019
|
A revised option pricing formula with the underlying being banned from short selling. Zbl 1454.91289
He, Xin-Jiang; Zhu, Song-Ping |
|
2020
|
An alternative form used to calibrate the Heston option pricing model. Zbl 1443.91292
He, Xin-Jiang; Zhu, Song-Ping |
|
2016
|
On the convergence of He and Zhu’s new series solution for pricing options with the Heston model. Zbl 1399.91128
Zhu, Song-Ping; He, Xin-Jiang |
|
2017
|
An analytical approximation formula for the pricing of credit default swaps with regime switching. Zbl 1471.91572
He, Xin-Jiang; Lin, Sha |
|
2021
|
An empirical analysis of option pricing with short sell bans. Zbl 1503.91116
Alfeus, Mesias; He, Xin-Jiang; Zhu, Song-Ping |
|
2022
|
An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. Zbl 1538.91085
He, Xin-Jiang; Chen, Wenting |
|
2019
|
A semi-analytical pricing formula for European options under the rough Heston-CIR model. Zbl 1443.91291
He, Xin-Jiang; Lin, Sha |
|
2019
|
An accurate approximation formula for pricing European options with discrete dividend payments. Zbl 07110041
Zhu, Song-Ping; He, Xin-Jiang |
|
2018
|
An alternative form to calibrate the correlated Stein-Stein option pricing model. Zbl 1438.91152
He, Xin-Jiang; Zhu, Song-Ping |
|
2019
|
Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks. Zbl 1540.91070
Hu, Zhihao; Yang, Ben-Zhang; He, Xin-Jiang; Yue, Jia |
|
2024
|
Analytically pricing European options with a two-factor Stein-Stein model. Zbl 1536.91335
Lin, Sha; Lin, Xuanmeng; He, Xin-Jiang |
|
2024
|
Continuous time mean-variance-utility portfolio problem and its equilibrium strategy. Zbl 1508.91516
Yang, Ben-Zhang; He, Xin-Jiang; Zhu, Song-Ping |
|
2022
|
Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks. Zbl 1540.91070
Hu, Zhihao; Yang, Ben-Zhang; He, Xin-Jiang; Yue, Jia |
|
2024
|
Analytically pricing European options with a two-factor Stein-Stein model. Zbl 1536.91335
Lin, Sha; Lin, Xuanmeng; He, Xin-Jiang |
|
2024
|
A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching. Zbl 1505.91382
He, Xin-Jiang; Lin, Sha |
|
2023
|
Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching. Zbl 07495790
He, Xin-Jiang; Chen, Wenting |
|
2022
|
An empirical analysis of option pricing with short sell bans. Zbl 1503.91116
Alfeus, Mesias; He, Xin-Jiang; Zhu, Song-Ping |
|
2022
|
Continuous time mean-variance-utility portfolio problem and its equilibrium strategy. Zbl 1508.91516
Yang, Ben-Zhang; He, Xin-Jiang; Zhu, Song-Ping |
|
2022
|
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. Zbl 1460.91269
He, Xin-Jiang; Chen, Wenting |
|
2021
|
A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model. Zbl 1498.91453
Lin, Sha; He, Xin-Jiang |
|
2021
|
A new integral equation approach for pricing American-style barrier options with rebates. Zbl 1448.91298
Lin, Sha; He, Xin-Jiang |
|
2021
|
Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory. Zbl 1471.91519
Yang, Ben-Zhang; He, Xin-Jiang; Huang, Nan-Jing |
|
2021
|
An analytical approximation formula for the pricing of credit default swaps with regime switching. Zbl 1471.91572
He, Xin-Jiang; Lin, Sha |
|
2021
|
A regime switching fractional Black-Scholes model and European option pricing. Zbl 1448.91299
Lin, Sha; He, Xin-Jiang |
|
2020
|
Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching. Zbl 07571817
Lin, Sha; He, Xin-Jiang |
|
2020
|
A revised option pricing formula with the underlying being banned from short selling. Zbl 1454.91289
He, Xin-Jiang; Zhu, Song-Ping |
|
2020
|
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching. Zbl 1411.91557
He, Xin-Jiang; Zhu, Song-Ping |
|
2019
|
An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. Zbl 1538.91085
He, Xin-Jiang; Chen, Wenting |
|
2019
|
A semi-analytical pricing formula for European options under the rough Heston-CIR model. Zbl 1443.91291
He, Xin-Jiang; Lin, Sha |
|
2019
|
An alternative form to calibrate the correlated Stein-Stein option pricing model. Zbl 1438.91152
He, Xin-Jiang; Zhu, Song-Ping |
|
2019
|
A closed-form pricing formula for European options under the Heston model with stochastic interest rate. Zbl 1408.91215
He, Xin-Jiang; Zhu, Song-Ping |
|
2018
|
A new integral equation formulation for American put options. Zbl 1400.91627
Zhu, Song-Ping; He, Xin-Jiang; Lu, Xiaoping |
|
2018
|
A Monte-Carlo based approach for pricing credit default swaps with regime switching. Zbl 1431.91435
He, Xin-Jiang; Chen, Wenting |
|
2018
|
A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate. Zbl 1442.91102
He, Xin-Jiang; Zhu, Song-Ping |
|
2018
|
An accurate approximation formula for pricing European options with discrete dividend payments. Zbl 07110041
Zhu, Song-Ping; He, Xin-Jiang |
|
2018
|
How should a local regime-switching model be calibrated? Zbl 1401.91493
He, Xin-Jiang; Zhu, Song-Ping |
|
2017
|
Pricing credit default swaps under a multi-scale stochastic volatility model. Zbl 1400.91584
Chen, Wenting; He, Xinjiang |
|
2017
|
On the convergence of He and Zhu’s new series solution for pricing options with the Heston model. Zbl 1399.91128
Zhu, Song-Ping; He, Xin-Jiang |
|
2017
|
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching. Zbl 1401.91531
He, Xin-Jiang; Zhu, Song-Ping |
|
2016
|
Pricing European options with stochastic volatility under the minimal entropy martingale measure. Zbl 1408.91214
He, Xin-Jiang; Zhu, Song-Ping |
|
2016
|
An alternative form used to calibrate the Heston option pricing model. Zbl 1443.91292
He, Xin-Jiang; Zhu, Song-Ping |
|
2016
|
The pricing of credit default swaps under a generalized mixed fractional Brownian motion. Zbl 1402.91847
He, Xinjiang; Chen, Wenting |
|
2014
|
