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Analytically pricing exchange options with stochastic liquidity and regime switching

The journal of futures markets, 2023-05, Vol.43 (5), p.662-676

2023

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Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure

The journal of futures markets, 2023-07, Vol.43 (7), p.951-967

2023

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A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching

Japan journal of industrial and applied mathematics, 2023, Vol.40 (1), p.525-536

2023

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A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

Mathematics and financial economics, 2021-03, Vol.15 (2), p.381-396

2021

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Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching

Computational economics, 2022-03, Vol.59 (3), p.1069-1085

2022

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Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

Expert systems with applications, 2023-05, Vol.217, p.119592, Article 119592

2023

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

Optimization, 2022-12, Vol.71 (14), p.4213-4241

2022

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Equilibrium Price and Optimal Insider Trading Strategy Under Stochastic Liquidity with Long Memory

Applied mathematics & optimization, 2021-10, Vol.84 (2), p.1209-1237

2021

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On full calibration of hybrid local volatility and regime‐switching models

The journal of futures markets, 2018-05, Vol.38 (5), p.586-606

2018

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A revised option pricing formula with the underlying being banned from short selling

Quantitative finance, 2020-06, Vol.20 (6), p.935-948

2020

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A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing

Expert systems with applications, 2023-02, Vol.212, p.118742, Article 118742

2023

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A fractional Black-Scholes model with stochastic volatility and European option pricing

Expert systems with applications, 2021-09, Vol.178, p.114983, Article 114983

2021

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Quantum teleportation mediated by surface plasmon polariton

Scientific reports, 2020-07, Vol.10 (1), p.11503-11503, Article 11503

2020

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Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure

Expert systems with applications, 2024-07, Vol.246, p.123203, Article 123203

2024

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Exchange options with stochastic liquidity risk

Expert systems with applications, 2023-08, Vol.223, p.119915, Article 119915

2023

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Origin of 3.45 eV Emission Line and Yellow Luminescence Band in GaN Nanowires: Surface Microwire and Defect

ACS nano, 2015-09, Vol.9 (9), p.9276-9283

2015

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A new algorithm for calibrating local regime-switching models

IMA journal of management mathematics, 2021-04, Vol.32 (2), p.237-255

2021

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Analytically pricing European options with a two-factor Stein–Stein model

Journal of computational and applied mathematics, 2024-04, Vol.440, p.115662, Article 115662

2024

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An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model

Applications of mathematics (Prague), 2019-06, Vol.64 (3), p.367-382

2019

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A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model

Chaos, solitons and fractals, 2021-03, Vol.144, p.110644, Article 110644

2021

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A closed-form pricing formula for European options in an illiquid asset market

Financial innovation (Heidelberg), 2022-04, Vol.8 (1), p.1-18, Article 30

2022

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VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL

The ANZIAM journal, 2022-07, Vol.64 (3), p.250-263

2022

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Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching Model

The Journal of derivatives, 2019-12, Vol.27 (2), p.108-119

2019

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Enhancement of TE polarized light extraction efficiency in nanoscale (AlN)m /(GaN)n (m>n) superlattice substitution for Al-rich AlGaN disorder alloy: ultra-thin GaN layer modulation

New journal of physics, 2014-11, Vol.16 (11), p.113065

2014

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An Analytical Approximation Formula for Barrier Option Prices Under the Heston Model

Computational economics, 2022-12, Vol.60 (4), p.1413-1425

2022

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Analytically pricing exchange options with stochastic liquidity and regime switching

Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure

A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching

A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching

Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

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

Equilibrium Price and Optimal Insider Trading Strategy Under Stochastic Liquidity with Long Memory

On full calibration of hybrid local volatility and regime‐switching models

A revised option pricing formula with the underlying being banned from short selling

A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing

A fractional Black-Scholes model with stochastic volatility and European option pricing

Quantum teleportation mediated by surface plasmon polariton

Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure

Exchange options with stochastic liquidity risk

Origin of 3.45 eV Emission Line and Yellow Luminescence Band in GaN Nanowires: Surface Microwire and Defect

A new algorithm for calibrating local regime-switching models

Analytically pricing European options with a two-factor Stein–Stein model

An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model

A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model

A closed-form pricing formula for European options in an illiquid asset market

VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL

Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching Model

Enhancement of TE polarized light extraction efficiency in nanoscale (AlN)m /(GaN)n (m>n) superlattice substitution for Al-rich AlGaN disorder alloy: ultra-thin GaN layer modulation

An Analytical Approximation Formula for Barrier Option Prices Under the Heston Model

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