Xin-Jiang He

University of Wollongong

Northfields Avenue

Wollongong, New South Wales 2522

Australia

SCHOLARLY PAPERS

2

DOWNLOADS

175

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

An Empirical Study of the Option Pricing Formula with the Underlying Banned from Short Sell

Number of pages: 26 Posted: 11 Nov 2019
Mesias Alfeus, Xin-Jiang He and Song-Ping Zhu
Department of Statistics and Actuarial Science - Stellenbosch University, University of Wollongong and University of Wollongong
Downloads 91 (420,673)

Abstract:

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Option pricing, Short sell ban, Calibration, S\&P/ASX 200 index, Out-of-sample.

Regularization Effect on Model Calibration

Number of pages: 21 Posted: 30 Jan 2020
Mesias Alfeus, Xin-Jiang He and Song-Ping Zhu
Department of Statistics and Actuarial Science - Stellenbosch University, University of Wollongong and University of Wollongong
Downloads 84 (445,949)

Abstract:

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Tikhonov Regularisation, Calibration, SABR, Heston model