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Option pricing and Esscher transform under regime switching
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: Annals of Finance 1 (2005) 4, pp. 423-432
Persistent link: https://www.econbiz.de/10005808845
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A new closed-form formula for pricing European options under a skew Brownian motion
Zhu, Song-Ping; He, Xin-Jiang - In: The European journal of finance 24 (2018) 10/12, pp. 1063-1074
Persistent link: https://www.econbiz.de/10012244440
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A revised option pricing formula with the underlying being banned from short selling
He, Xin-Jiang; Zhu, Song-Ping - In: Quantitative finance 20 (2020) 6, pp. 935-948
Persistent link: https://www.econbiz.de/10012262638
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An empirical analysis of option pricing with short sell bans
Alfeus, Mesias; He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied … 25 (2022) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10013371029