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Xin-Jiang He
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2020 – today
- 2025
- [j21]Xin-Jiang He, Shou-De Huang, Sha Lin:
A closed-form solution for pricing European-style options under the Heston model with credit and liquidity risks. Commun. Nonlinear Sci. Numer. Simul. 143: 108595 (2025) - 2024
- [j20]Xin-Jiang He
, Sha Lin
Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure. Expert Syst. Appl. 246: 123203 (2024) - [j19]Sha Lin
Analytically pricing European options with a two-factor Stein-Stein model. J. Comput. Appl. Math. 440: 115662 (2024) - [j18]Zhihao Hu, Ben-Zhang Yang, Xin-Jiang He
Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks. Math. Comput. Simul. 219: 212-230 (2024) - 2023
- [j17]Xin-Jiang He, Sha Lin
A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing. Expert Syst. Appl. 212: 118742 (2023) - [j16]Sha Lin
Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching. Expert Syst. Appl. 217: 119592 (2023) - [j15]Puneet Pasricha
Exchange options with stochastic liquidity risk. Expert Syst. Appl. 223: 119915 (2023) - 2022
- [j14]Wenting Chen, Xin-Jiang He
Pricing credit default swaps with Parisian and Parasian default mechanics. Commun. Stat. Simul. Comput. 51(2): 421-431 (2022) - [j13]Puneet Pasricha
A closed-form pricing formula for European options with market liquidity risk. Expert Syst. Appl. 189: 116128 (2022) - [j12]Xin-Jiang He, Sha Lin
An accurate approximation to barrier option prices with discrete fixed-amount dividends: Nonlinear dynamics. Expert Syst. Appl. 204: 117543 (2022) - [j11]Xin-Jiang He
Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model. Expert Syst. Appl. 206: 117880 (2022) - [j10]Xin-Jiang He, Sha Lin
A closed-form pricing formula for variance swaps under a stochastic volatility model with a stochastic mean-reversion level. Soft Comput. 26(8): 3939-3946 (2022) - 2021
- [j9]Xin-Jiang He, Sha Lin
A fractional Black-Scholes model with stochastic volatility and European option pricing. Expert Syst. Appl. 178: 114983 (2021) - [j8]Sha Lin
A new integral equation approach for pricing American-style barrier options with rebates. J. Comput. Appl. Math. 383: 113107 (2021) - 2020
- [j7]Sha Lin
A regime switching fractional Black-Scholes model and European option pricing. Commun. Nonlinear Sci. Numer. Simul. 85: 105222 (2020)
2010 – 2019
- 2019
- [j6]Xin-Jiang He
An alternative form to calibrate the correlated Stein-Stein option pricing model. Comput. Appl. Math. 38(2) (2019) - 2018
- [j5]Song-Ping Zhu
A modified Black-Scholes pricing formula for European options with bounded underlying prices. Comput. Math. Appl. 75(5): 1635-1647 (2018) - [j4]Xin-Jiang He
A Monte-Carlo based approach for pricing credit default swaps with regime switching. Comput. Math. Appl. 76(7): 1758-1766 (2018) - [j3]Xin-Jiang He
A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate. Comput. Math. Appl. 76(9): 2223-2234 (2018) - [j2]Xin-Jiang He
A closed-form pricing formula for European options under the Heston model with stochastic interest rate. J. Comput. Appl. Math. 335: 323-333 (2018) - 2016
- [j1]Xin-Jiang He
An alternative form used to calibrate the Heston option pricing model. Comput. Math. Appl. 71(9): 1831-1842 (2016)
Coauthor Index
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