Song-Ping Zhu

Publication Activity (10 Years)

Years Active: 1998-2025
Publications (10 Years): 30

Top Topics

Optimal Portfolio

Diffusion Processes

Black Scholes Model

Top Venues

Comput. Math. Appl.

J. Comput. Appl. Math.

Appl. Math. Comput.

Expert Syst. Appl.

Publications

Yawen Zheng, Song-Ping Zhu
A generalized integral equation formulation for pricing American options under regime-switching model. J. Comput. Appl. Math. 453 (2025)
Yossi Shvimer, Song-Ping Zhu
Pricing options with a new hybrid neural network model. Expert Syst. Appl. 251 (2024)
Song-Ping Zhu, Yawen Zheng
An integral equation approach for pricing American put options under regime-switching model. Int. J. Comput. Math. 100 (7) (2023)
Xiaoping Lu, Dong Yan, Song-Ping Zhu
Optimal exercise of American puts with transaction costs under utility maximization. Appl. Math. Comput. 415 (2022)
Puneet Pasricha, Song-Ping Zhu, Xin-Jiang He
A closed-form pricing formula for European options with market liquidity risk. Expert Syst. Appl. 189 (2022)
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 (2022)
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 (2021)
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 (2021)
Ben-Zhang Yang, Xiaoping Lu, Guiyuan Ma, Song-Ping Zhu
Robust Portfolio Optimization with Multi-Factor Stochastic Volatility. J. Optim. Theory Appl. 186 (1) (2020)
Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu, Robert J. Elliott
Optimal portfolio execution problem with stochastic price impact. Autom. 112 (2020)
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) (2020)
Dong Yan, Song-Ping Zhu, Xiaoping Lu
A numerical study of the utility-indifference approach for pricing American options. Comput. Math. Appl. 80 (5) (2020)
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) (2020)
Guiyuan Ma, Song-Ping Zhu, Wenting Chen
Pricing European call options under a hard-to-borrow stock model. Appl. Math. Comput. 357 (2019)
Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu
Dynamic portfolio choice with return predictability and transaction costs. Eur. J. Oper. Res. 278 (3) (2019)
Xiang-Chen Zeng, Song-Ping Zhu
A new simple tree approach for the Heston's stochastic volatility model. Comput. Math. Appl. 78 (6) (2019)
Xin-Jiang He, Song-Ping Zhu
An alternative form to calibrate the correlated Stein-Stein option pricing model. Comput. Appl. Math. 38 (2) (2019)
Song-Ping Zhu, Sha Lin, Xiaoping Lu
Pricing puttable convertible bonds with integral equation approaches. Comput. Math. Appl. 75 (8) (2018)
Song-Ping Zhu, Guang-Hua Lian
On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures. New Math. Nat. Comput. 14 (3) (2018)
Song-Ping Zhu, Xin-Jiang He
A modified Black-Scholes pricing formula for European options with bounded underlying prices. Comput. Math. Appl. 75 (5) (2018)
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 (2018)
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) (2018)
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) (2018)
Xin-Jiang He, Song-Ping Zhu
An alternative form used to calibrate the Heston option pricing model. Comput. Math. Appl. 71 (9) (2016)
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) (2016)
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) (2015)
Song-Ping Zhu, Guang-Hua Lian
Pricing forward-start variance swaps with stochastic volatility. Appl. Math. Comput. 250 (2015)
Song-Ping Zhu, Guang-Hua Lian
Analytically pricing volatility swaps under stochastic volatility. J. Comput. Appl. Math. 288 (2015)
Wen-Ting Chen, Liangbin Xu, Song-Ping Zhu
Stock loan valuation under a stochastic interest rate model. Comput. Math. Appl. 70 (8) (2015)
Song-Ping Zhu, Nhat-Tan Le, Wen-Ting Chen, Xiaoping Lu
Pricing Parisian down-and-in options. Appl. Math. Lett. 43 (2015)
Sanae Rujivan, Song-Ping Zhu
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility. Appl. Math. Lett. 25 (11) (2012)
Song-Ping Zhu, Guang-Hua Lian
On the valuation of variance swaps with stochastic volatility. Appl. Math. Comput. 219 (4) (2012)
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) (2012)
Wen-Ting Chen, Song-Ping Zhu
Pricing perpetual American puts under multi-scale stochastic volatility. Asymptot. Anal. 80 (1-2) (2012)
Jari Toivanen, Cornelis W. Oosterlee, Song-Ping Zhu
Computational methods for PDEs in finance. Int. J. Comput. Math. 89 (9) (2012)
Song-Ping Zhu, Jin Zhang
A new predictor-corrector scheme for valuing American puts. Appl. Math. Comput. 217 (9) (2011)
Song-Ping Zhu, Wen-Ting Chen
Pricing perpetual American options under a stochastic-volatility model with fast mean reversion. Appl. Math. Lett. 24 (10) (2011)
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) (2011)
Song-Ping Zhu, Wen-Ting Chen
A spectral-collocation method for pricing perpetual American puts with stochastic volatility. Appl. Math. Comput. 217 (22) (2011)
Song-Ping Zhu, Wen-Ting Chen
A new analytical approximation for European puts with stochastic volatility. Appl. Math. Lett. 23 (6) (2010)
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) (1998)