Song-Ping Zhu

University of Wollongong

Professor

Northfield Ave.

Wollongong, NSW

Australia

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 31,337

SSRN RANKINGS

Top 31,337

in Total Papers Downloads

2,472

SSRN CITATIONS
Rank 19,400

SSRN RANKINGS

Top 19,400

in Total Papers Citations

22

CROSSREF CITATIONS

31

Scholarly Papers (15)

1.

Pricing Vix Options with Stochastic Volatility and Random Jumps

Number of pages: 24 Posted: 23 May 2012
Guanghua Lian and Song-Ping Zhu
UBS AG and University of Wollongong
Downloads 634 (64,366)
Citation 4

Abstract:

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2.

An Analytical Formula for VIX Futures and its Applications

Journal of Futures Markets, 2009
Number of pages: 25 Posted: 15 Feb 2011
Song-Ping Zhu and Guanghua Lian
University of Wollongong and UBS AG
Downloads 468 (93,742)
Citation 5

Abstract:

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3.

The Puzzle of Warrants Trading Below Their Intrinsic Values in China's A-Share Market

Number of pages: 14 Posted: 07 May 2008
Qiang Liu, Song-Ping Zhu and Wei Fan
Southwestern University of Finance and Economics - Institute of Chinese Financial Studies, University of Wollongong and Tsinghua University
Downloads 309 (149,289)
Citation 2

Abstract:

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Chinese warrant, intrinsic value, abnormal warrant price, T 1 trading rule, irrational behavior, rational trading strategy

4.

A Closed-Form Exact Solution for Pricing Variance Swaps With Stochastic Volatility

Number of pages: 24 Posted: 08 Dec 2010 Last Revised: 28 Aug 2012
Song-Ping Zhu and Guanghua Lian
University of Wollongong and UBS AG
Downloads 291 (158,963)
Citation 1

Abstract:

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Variance Swaps, Heston Model, Closed-Form Exact Solution, Explicit Formula, Stochastic Volatility

5.

On the Valuation of Variance Swaps with Stochastic Volatility

Number of pages: 39 Posted: 15 Feb 2011
Song-Ping Zhu and Guanghua Lian
University of Wollongong and UBS AG
Downloads 174 (258,919)

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Variance Swaps, Heston Model, Explicit Formulae, Stochastic Volatility

6.

Pricing European Call Options Under a Hard-to-Borrow Stock

Number of pages: 38 Posted: 02 Jun 2017 Last Revised: 24 Jan 2022
Guiyuan Ma, Song-Ping Zhu and Wenting Chen
Xi'an Jiaotong University (XJTU) - School of Economics and Finance, University of Wollongong and University of Wollongong
Downloads 103 (387,139)

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Hard-to-borrow stock; Option pricing; Short-selling; Buy-in

7.

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 90 (422,791)

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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 83 (448,250)

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Tikhonov Regularisation, Calibration, SABR, Heston model

Regularization Effect on Model Calibration

Journal of Risk, Vol. 24, No. 3
Number of pages: 28 Posted: 01 Mar 2022
Mesias Alfeus, Xin-Jiang He and Song-Ping Zhu
Department of Statistics and Actuarial Science - Stellenbosch University, Zhejiang University of Technology and University of Wollongong
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model calibration; regularization; option pricing model; out-of-sample forecast; global optimization.

9.

Optimal Portfolio Execution Problem With Stochastic Price Impact

Automatica, Forthcoming
Number of pages: 14 Posted: 30 Nov 2019
Xi'an Jiaotong University (XJTU) - School of Economics and Finance, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong, University of Wollongong and University of South Australia - School of Commerce
Downloads 81 (450,270)

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Stochastic optimal control; Application in finance; Optimal portfolio execution problem; Regime-switching price impact; Markov jump system; Coupled differential Riccati equations.

10.

Semi-Analytical Valuation for Discrete Barrier Options under Time-Dependent Lévy Processes

Number of pages: 51 Posted: 10 Jan 2017
UBS AG, University of Wollongong, University of Birmingham and Stevens Institute of Technology - School of Business
Downloads 69 (492,466)
Citation 4

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Discrete Barrier Options, Lévy Processes, Fourier-Cosine Series

11.

Equal Risk Pricing Under Convex Trading Constraints

Number of pages: 21 Posted: 24 Jun 2015 Last Revised: 30 Dec 2015
Ivan Guo and Song-Ping Zhu
Monash University - School of Mathematical Sciences and University of Wollongong
Downloads 61 (528,475)
Citation 2

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derivative pricing, trading constraints, risk measures, short selling ban

12.

Optimal Investment and Consumption with Return Predictability and Execution Costs

Economic Modelling, Forthcoming
Number of pages: 30 Posted: 02 May 2019 Last Revised: 07 Oct 2019
Guiyuan Ma, Chi Chung Siu and Song-Ping Zhu
Xi'an Jiaotong University (XJTU) - School of Economics and Finance, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and University of Wollongong
Downloads 45 (599,750)

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Continuous-time investment and consumption problem; Return predictability; Linear temporary price impact; Execution costs; Utility maximization.

13.

Pricing Parisian Down-and-In Options

Applied Mathematics Letters, 43, pp. 19-24, 2015, DOI: 10.1016/j.aml.2014.10.019
Number of pages: 6 Posted: 06 Nov 2015
Song-Ping Zhu, Tan Le, Wenting Chen and Xiaoping Lu
University of Wollongong, University of Wollongong, University of Wollongong and University of Wollongong
Downloads 32 (676,652)

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Down-and-in options, American-style Parisian options, moving window technique, analytical solutions

14.

A Generalized Approach for Pricing American Options Under Regime-Switching Model

Number of pages: 31 Posted: 28 Sep 2022
Yawen Zheng and Song-Ping Zhu
University of Wollongong, Wollongong NSW Australia and University of Wollongong
Downloads 21 (777,144)

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Regime-switching model, Hidden Markov model, Integral Equation, American option, Numerical Methods

15.

A Closed-Form Exact Solution for Pricing Variance Swaps with Stochastic Volatility

Mathematical Finance, Vol. 21, Issue 2, pp. 233-256, 2011
Number of pages: 24 Posted: 14 Feb 2011
Song-Ping Zhu and Guanghua Lian
University of Wollongong and UBS AG
Downloads 11 (851,015)
Citation 6

Abstract:

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variance swaps, Heston model, closed-form exact solution, explicit formula, stochastic volatility