Song-Ping Zhu

发表

On the Valuation of Variance Swaps with Stochastic Volatility

Song-Ping Zhu, Guang-Hua Lian, Song‐Ping Zhu, 2008, Appl. Math. Comput..

Nonlinear 2D analysis of the efficiency of fixed Oscillating Water Column wave energy converters

Song-Ping Zhu, Yongyao Luo, Jean-Roch Nader, 2014 .

Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme

Song-Ping Zhu, Sha Lin, 2020, Comput. Math. Appl..

Modelling the confinement of spilled oil with floating booms

Song-Ping Zhu, Dmitry V. Strunin, 2001 .

On the Efficiency of Oscillating Water Column (OWC) Devices in Converting Ocean Wave Energy to Electricity Under Weakly Nonlinear Waves

Song-Ping Zhu, Jean-Roch Nader, Paul Cooper, 2012 .

A new predictor-corrector scheme for valuing American puts

Jin Zhang, Song-Ping Zhu, Song‐Ping Zhu, 2011, Appl. Math. Comput..

A new exact solution for pricing European options in a two-state regime-switching economy

Xiaoping Lu, Song-Ping Zhu, Alexander Badran, 2012, Comput. Math. Appl..

An alternative form used to calibrate the Heston option pricing model

Song-Ping Zhu, Xin-Jiang He, Song‐Ping Zhu, 2016, Comput. Math. Appl..

An efficient numerical calculation of wave loads on an array of vertical cylinders

Song-Ping Zhu, Grant Moule, 1996 .

Pricing forward-start variance swaps with stochastic volatility

Song-Ping Zhu, Guang-Hua Lian, Song‐Ping Zhu, 2015, Appl. Math. Comput..

A new simple tree approach for the Heston's stochastic volatility model

Song-Ping Zhu, Xiang-Chen Zeng, 2019, Comput. Math. Appl..

Analytically pricing double barrier options based on a time-fractional Black-Scholes equation

Song-Ping Zhu, Xiang Xu, Wen-Ting Chen, 2015, Comput. Math. Appl..

Pricing European call options under a hard-to-borrow stock model

Song-Ping Zhu, Guiyuan Ma, Wenting Chen, 2019, Appl. Math. Comput..

A Numerical Model for Multiphase Flow Based On The GMPPS Formulation, Part II: Dynamics

Song-Ping Zhu, Frank Bierbrauer, Song‐Ping Zhu, 2008 .

System Identification of a Floating Oscillating Water Column Wave Energy Converter

Song-Ping Zhu, Brad Stappenbelt, Jean-Roch Nader, 2011 .

Continuous time mean-variance-utility portfolio problem and its equilibrium strategy

Song-Ping Zhu, Ben-Zhang Yang, Xin-Jiang He, 2020 .

A hybrid computational approach for option pricing

Song-Ping Zhu, Xin-Jiang He, Song‐Ping Zhu, 2018, International Journal of Financial Engineering.

A finite element model for efficiency of a moored floating OWC device in regular waves

Song-Ping Zhu, Brad Stappenbelt, Jean-Roch Nader, 2011 .

Computational methods for PDEs in finance

Song-Ping Zhu, Cornelis W. Oosterlee, Jari Toivanen, 2012, Int. J. Comput. Math..

An alternative form to calibrate the correlated Stein–Stein option pricing model

Song-Ping Zhu, Xin-Jiang He, Song‐Ping Zhu, 2019, Comput. Appl. Math..

A closed-form exact solution for the value of American put and its optimal exercise boundary (Invited Paper)

Song-Ping Zhu, Song‐Ping Zhu, 2005, SPIE International Symposium on Fluctuations and Noise.

Application of CFD in ship engineering design practice and ship hydrodynamics

Song-Ping Zhu, Feng Zhao, Zhi-rong Zhang, 2006 .

Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates

Song-Ping Zhu, Jingtang Ma, Hongji Tang, 2018, Int. J. Comput. Math..

A closed-form pricing formula for European options under the Heston model with stochastic interest rate

Song-Ping Zhu, Xin-Jiang He, Song‐Ping Zhu, 2018, J. Comput. Appl. Math..

A predictor-corrector scheme based on the ADI method for pricing American puts with stochastic volatility

Song-Ping Zhu, Wen-Ting Chen, Song‐Ping Zhu, 2011, Comput. Math. Appl..

Pricing puttable convertible bonds with integral equation approaches

Xiaoping Lu, Song-Ping Zhu, Sha Lin, 2018, Comput. Math. Appl..

On the application of multiquadric bases in conjunction with the LTDRM method to solve nonlinear diffusion equations

Song-Ping Zhu, Huan-Wen Liu, Huan-wen Liu, 1998, Appl. Math. Comput..

Pricing Parisian Down-and-In Options

Xiaoping Lu, Song-Ping Zhu, Wen-Ting Chen, 2014, Appl. Math. Lett..

Dynamic portfolio choice with return predictability and transaction costs

Song-Ping Zhu, Chi Chung Siu, Guiyuan Ma, 2019, Eur. J. Oper. Res..

A new analytical approximation for European puts with stochastic volatility

Song-Ping Zhu, Wen-Ting Chen, 2010, Appl. Math. Lett..

A modified Black-Scholes pricing formula for European options with bounded underlying prices

Song-Ping Zhu, Xin-Jiang He, Song‐Ping Zhu, 2017, Comput. Math. Appl..

Regularization Effect on Model Calibration

Song-Ping Zhu, Xin-Jiang He, Mesias Alfeus, 2019 .

A finite-element study of the efficiency of arrays of oscillating water column wave energy converters

Song-Ping Zhu, Brad Stappenbelt, Jean-Roch Nader, 2012 .

An integral equation approach for the valuation of American-style down-and-out calls with rebates

Xiaoping Lu, Song-Ping Zhu, Nhat-Tan Le, 2016, Comput. Math. Appl..

Corrigendum to ``Pricing American-style Parisian down-and-out call options'' [Applied Mathematics and Computation 305 (2017) 330–347]

Song-Ping Zhu, Xiaoping Lu, Duy-Minh Dang, 2018 .

A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate

Song-Ping Zhu, Xin-Jiang He, Song‐Ping Zhu, 2018, Comput. Math. Appl..

A spectral-collocation method for pricing perpetual American puts with stochastic volatility

Song-Ping Zhu, Wen-Ting Chen, Song‐Ping Zhu, 2011, Appl. Math. Comput..

Pricing perpetual American options under a stochastic-volatility model with fast mean reversion

Song-Ping Zhu, Wen-Ting Chen, 2011, Appl. Math. Lett..

On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures

Song-Ping Zhu, Guang-Hua Lian, 2018, New Math. Nat. Comput..

Hydrodynamic and energetic properties of a finite array of fixed oscillating water column wave energy converters

Song-Ping Zhu, Jean-Roch Nader, Paul Cooper, 2014 .

Analytically pricing volatility swaps under stochastic volatility

Song-Ping Zhu, Guang-Hua Lian, Song‐Ping Zhu, 2015, J. Comput. Appl. Math..

Stock loan valuation under a stochastic interest rate model

Song-Ping Zhu, Liangbin Xu, Wen-Ting Chen, 2015, Comput. Math. Appl..

A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility

Song-Ping Zhu, Sanae Rujivan, Song‐Ping Zhu, 2012, Appl. Math. Lett..

Pricing perpetual American puts under multi-scale stochastic volatility

Song-Ping Zhu, Wen-Ting Chen, Song‐Ping Zhu, 2012, Asymptot. Anal..

Revisiting the Merton Problem: from HARA to CARA Utility

Song-Ping Zhu, Guiyuan Ma, Song‐Ping Zhu, 2021, Computational Economics.

A closed-form pricing formula for European options with market liquidity risk

Song-Ping Zhu, Puneet Pasricha, Xin-Jiang He, 2021, Expert Systems with Applications.

Optimal exercise of American puts with transaction costs under utility maximization

Song-Ping Zhu, Xiaoping Lu, Dong Yan, 2022, Appl. Math. Comput..

An inverse finite element method for pricing American options

Song-Ping Zhu, Wenting Chen, Song‐Ping Zhu, 2013 .

A new closed-form formula for pricing European options under a skew Brownian motion

Song-Ping Zhu, Xin-Jiang He, Song‐Ping Zhu, 2017 .

CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA

Song-Ping Zhu, Zhi-Wei He, 2007 .

Patterns of ship waves

Song-Ping Zhu, Chia-Shun Yih, 1989 .

Optimal execution with regime-switching market resilience

Robert J. Elliott, Song-Ping Zhu, Chi Chung Siu, 2019, Journal of Economic Dynamics and Control.

Diffraction of ocean waves around a hollow cylindrical shell structure

Song-Ping Zhu, Lewis Mitchell, 2009 .

Second-order wave diffraction forces on a vertical circular cylinder due to short-crested waves

Song-Ping Zhu, Song‐Ping Zhu, P. Satravaha, 1995 .

A numerical model for multiphase flow based on the GMPPS formulation. Part I: Kinematics

Song-Ping Zhu, Frank Bierbrauer, Song‐Ping Zhu, 2007 .

A perturbation DRBEM model for weakly nonlinear wave run-ups around islands

Song-Ping Zhu, Timothy R. Marchant, Huan-wen Liu, 2009 .

A general DRBEM model for wave refraction and diffraction

Song-Ping Zhu, Ke Chen, Huan-wen Liu, 1993 .

A comparative study of the direct boundary element method and the dual reciprocity boundary element method in solving the Helmholtz equation

Song-Ping Zhu, Yinglong Zhang, 2007 .

A New Analytical-Approximation Formula for the Optimal Exercise Boundary of American Put Options

Song-Ping Zhu, Song‐Ping Zhu, 2006 .

A Numerical Model for the Confinement of Oil Spill with Floating Booms

Song-Ping Zhu, Dmitry V. Strunin, 2002 .

Numerical experiments of a benchmark hull based on a turbulent free-surface flow model

Song-Ping Zhu, Feng Zhao, Song‐Ping Zhu, 2005 .

Numerical simulation of discharged waste heat and contaminants into the South Estuary of the Yangtze River

Song-Ping Zhu, Song‐Ping Zhu, L. Yu, 1993 .

Should an American option be exercised earlier or later if volatility is not assumed to be a constant

Song-Ping Zhu, Wenting Chen, 2011 .

A new numerical approach for solving high-order non-linear ordinary differential equations

Song-Ping Zhu, Hung Thanh Phan, 2003 .

Subcritical, transcritical and supercritical flows over a step

Song-Ping Zhu, Yinglong Zhang, Song‐Ping Zhu, 1997, Journal of Fluid Mechanics.

Optimal investment and consumption with return predictability and execution costs

Song-Ping Zhu, Chi Chung Siu, Guiyuan Ma, 2020 .

Diffraction of short-crested waves around a circular cylinder

Song-Ping Zhu, Song‐Ping Zhu, 1993 .

A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY

Song-Ping Zhu, Song‐Ping Zhu, G. Lian, 2010 .

The dual reciprocity boundary element method for magnetohydrodynamic channel flows

Song-Ping Zhu, Huan-wen Liu, Song‐Ping Zhu, 2002 .

Numerical calculation of forces induced by short-crested waves on a vertical cylinder of arbitrary cross-section

Song-Ping Zhu, Song‐Ping Zhu, G. Moule, 1994 .

Optimal investment and consumption under a continuous-time cointegration model with exponential utility

Song-Ping Zhu, Guiyuan Ma, 2019, Quantitative Finance.

Numerical valuation of American puts on a dividend paying asset

Song-Ping Zhu, Jin Zhang, B Hon, 2006 .

Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative

Song-Ping Zhu, Xiang Xu, Wenting Chen, 2014 .

Pricing variance swaps with stochastic volatility

Song-Ping Zhu, Guang-Hua Lian, 2009 .

Combined diffraction and radiation of ocean waves around an OWC device

Song-Ping Zhu, Lewis Mitchell, 2011 .

Solving linear diffusion equations with the dual reciprocity method in Laplace space

Song-Ping Zhu, Xiaoping Lu, Song‐Ping Zhu, 1994 .

An application of the LTDRM to transient diffusion problems with nonlinear material properties and nonlinear boundary conditions

Song-Ping Zhu, Song‐Ping Zhu, P. Satravaha, 1997 .

An explicit analytic formula for pricing barrier options with regime switching

Song-Ping Zhu, Leunglung Chan, Song‐Ping Zhu, 2015 .

An efficient computational method for modelling transient heat conduction with nonlinear source terms

Song-Ping Zhu, Song‐Ping Zhu, P. Satravaha, 1996 .

A predictor-corrector approach for pricing American options under the finite moment log-stable model

Song-Ping Zhu, Xiang Xu, Wenting Chen, 2015 .

A Hybrid Finite Difference Method for Valuing American Puts

Song-Ping Zhu, Jin Zhang, 2009 .