Song-Ping Zhu

University of Wollongong

Professor

Northfield Ave.

Wollongong, NSW

Australia

  • University of Wollongong

    • Email
    • Tel: 61-2-42213807
SCHOLARLY PAPERS

11

DOWNLOADS
Rank 30,002

SSRN RANKINGS

Top 30,002

in Total Papers Downloads

1,480

CITATIONS
Rank 22,856

SSRN RANKINGS

Top 22,856

in Total Papers Citations

12

Scholarly Papers (11)

Actions:
Email selected abstracts
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 373 (77,085)
Citation 2

Abstract:

Loading...

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 351 (82,787)
Citation 2

Abstract:

Loading...

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 (101,492)

Abstract:

Loading...

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 220 (135,737)
Citation 4

Abstract:

Loading...

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 114 (236,869)

Abstract:

Loading...

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 44 (400,230)

Abstract:

Loading...

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 36 (430,873)

Abstract:

Loading...

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 (482,018)

Abstract:

Loading...

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 (521,149)

Abstract:

Loading...

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 4 (604,283)

Abstract:

Loading...

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 (621,114)
Citation 4
  • Add to Cart

Abstract:

Loading...

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