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Analytically pricing European options in dynamic markets : incorporating liquidity variations and economic cycles

He, Xin-Jiang; Pasricha, Puneet; Lin, Sha - In: Economic modelling 139 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10015189810

Vulnerable options with regime switching and stochastic liquidity

He, Xin-Jiang; Pasricha, Puneet; Lu, Tuantuan; Lin, Sha - In: The quarterly review of economics and finance 98 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10015188648

A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching

He, Xin-Jiang; Lin, Sha - In: Financial innovation : FIN 10 (2024), pp. 1-23

The effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps. This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other stochastic sources. Based on this, a novel...

Persistent link: https://www.econbiz.de/10015361659

Analytically pricing European options under a new two-factor Heston model with regime switching

Lin, Sha; He, Xin-Jiang - In: Computational economics 59 (2022) 3, pp. 1069-1085

Persistent link: https://www.econbiz.de/10013169219

Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks

He, Xin-Jiang; Lin, Sha - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014483995