Pingping Zeng

Southern University of Science and Technology

1088 Xueyuan Avenue

Nanshan District

Shenzhen, Guangdong

China

  • Southern University of Science and Technology

SCHOLARLY PAPERS

3

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254

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Scholarly Papers (3)

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1.

Pricing Contingent Convertible Bond with Idiosyncratic Risk

Wang, X., Yang, Z. & Zeng, P. (2023) Pricing contingent convertibles with idiosyncratic risk. International Journal of Economic Theory, 1–34. https://doi.org/10.1111/ijet.12372
Number of pages: 44 Posted: 16 Dec 2012 Last Revised: 03 Mar 2023
Xiaolin Wang, Zhaojun Yang and Pingping Zeng
Hunan University, Southern University of Science and Technology - Department of Finance and Southern University of Science and Technology
Downloads 195 (247,782)
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contingent convertible bond, capital structure, utility-based pricing, idiosyncratic risk, risk-taking incentive

2.

Analytical Solvability and Exact Simulation in Models with Affine Stochastic Volatility and Levy Jumps

Number of pages: 46 Posted: 21 Oct 2022 Last Revised: 09 Nov 2022
Pingping Zeng, Ziqing Xu, Pingping Jiang and Yue Kuen Kwok
Southern University of Science and Technology, affiliation not provided to SSRN, Nankai University - School of Mathematical Sciences and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 42 (656,285)

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analytical solvability, exact simulation, stochastic volatility, Levy jumps, Hilbert transform method, interpolation, path-dependent derivatives

3.

A Transform-Based Method for Pricing Asian Options under General Two-Dimensional Models

Number of pages: 34 Posted: 13 May 2023
Weinan Zhang and Pingping Zeng
Southern University of Science and Technology - Department of Mathematics and Southern University of Science and Technology
Downloads 17 (839,551)

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arithmetic Asian options, two-dimensional models, extended double spiral method, fast Fourier transform