Song-Ping Zhu

University of Wollongong

Professor

Northfield Ave.

Wollongong, NSW

Australia

  • University of Wollongong

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    • Tel: 61-2-42213807
SCHOLARLY PAPERS

11

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34

Scholarly Papers (11)

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1.

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 University of South Australia - School of Commerce
Downloads 374 (78,180)

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2.

Pricing Vix Options with Stochastic Volatility and Random Jumps

Number of pages: 24 Posted: 23 May 2012
Guanghua Lian and Song-Ping Zhu
University of South Australia - School of Commerce and University of Wollongong
Downloads 357 (82,575)

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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 - School of Finance, University of Wollongong and Tsinghua University
Downloads 292 (103,215)
Citation 2

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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 University of South Australia - School of Commerce
Downloads 221 (137,374)
Citation 1

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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 University of South Australia - School of Commerce
Downloads 116 (237,732)

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Variance Swaps, Heston Model, Explicit Formulae, Stochastic Volatility

6.

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

Number of pages: 51 Posted: 10 Jan 2017
Guanghua Lian, Song-Ping Zhu, Robert J. R. Elliott and Zhenyu Cui
University of South Australia - School of Commerce, University of Wollongong, University of Birmingham and Stevens Institute of Technology - School of Business
Downloads 45 (403,647)

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Discrete Barrier Options, Lévy Processes, Fourier-Cosine Series

7.

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

Number of pages: 38 Posted: 02 Jun 2017 Last Revised: 25 Jul 2017
Guiyuan Ma, Song-Ping Zhu and Wenting Chen
University of Wollongong, University of Wollongong and University of Wollongong
Downloads 39 (426,238)

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

8.

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 26 (485,326)

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

9.

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 18 (530,948)

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

10.

Optimal Investment and Consumption with Return Predictability and Execution Costs

Number of pages: 26 Posted: 02 May 2019
Guiyuan Ma, Chi Chung Siu and Song-Ping Zhu
University of Wollongong, Department of Mathematics and Statistics, School of Decision Sciences, The Hang Seng University of Hong Kong and University of Wollongong
Downloads 13 (560,450)

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

11.

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 University of South Australia - School of Commerce
Downloads 2 (636,413)
Citation 2
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variance swaps, Heston model, closed-form exact solution, explicit formula, stochastic volatility