Song-Ping Zhu

University of Wollongong

Professor

Northfield Ave.

Wollongong, NSW

Australia

SCHOLARLY PAPERS

14

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2,010

SSRN CITATIONS
Rank 19,581

SSRN RANKINGS

Top 19,581

in Total Papers Citations

22

CROSSREF CITATIONS

31

Scholarly Papers (14)

1.

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 511 (71,869)
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 University of South Australia - School of Commerce
Downloads 419 (91,012)
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 - School of Finance, University of Wollongong and Tsinghua University
Downloads 296 (133,925)
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 University of South Australia - School of Commerce
Downloads 261 (152,398)
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 University of South Australia - School of Commerce
Downloads 128 (284,747)

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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: 25 Jul 2017
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 74 (406,212)

Abstract:

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

7.

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 60 (452,878)

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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.

8.

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 57 (464,199)

Abstract:

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

9.

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

Number of pages: 51 Posted: 10 Jan 2017
University of South Australia - School of Commerce, University of Wollongong, University of Birmingham and Stevens Institute of Technology - School of Business
Downloads 55 (471,724)
Citation 4

Abstract:

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Discrete Barrier Options, Lévy Processes, Fourier-Cosine Series

10.

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 54 (475,586)

Abstract:

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Tikhonov Regularisation, Calibration, SABR, Heston model

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 38 (547,320)
Citation 2

Abstract:

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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 34 (568,401)

Abstract:

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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 21 (650,506)

Abstract:

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

14.

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 (799,692)
Citation 6
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Abstract:

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