Song‐Ping Zhu

Finance · 2006–2015

A researcher in the Science corpus: 8 papers; trusts 32 researchers and is trusted by 22 researchers here, as inferred from the citation graph.

Subfields

• Finance — 62 citations into it; #904 of 10,518 by trust here, #2,099 by citations
• Economics and Econometrics — 24 citations into it
• Demography — 9 citations into it; #2,249 of 4,236 by trust here, #3,224 by citations

Whom Song‐Ping Zhu trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jun Pan
2. Francis A. Longstaff
3. D. Bunch
4. Mark Broadie
5. Jun Yu
6. Alan L. Lewis
7. A. Sepp
8. Paul Glasserman
9. Eduardo S. Schwartz
10. Steven Heston

Who trusts Song‐Ping Zhu overall

1. Shijun Liao
2. Shijun Liao
3. Daniel Sevcovic
4. Saeid Abbasbandy
5. Y. Tan
6. Hossein Vosughi
7. Elyas Shivanian
8. J. Cang
9. Jan Baldeaux
10. Tasawar Hayat

Papers from Song‐Ping Zhu's perspective

Ordered by how strongly the researchers Song‐Ping Zhu trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Pricing of Options and Corporate Liabilities
2. The jump-risk premia implicit in options: evidence from an integrated time-series study $
3. Post-'87 crash fears in the S&P 500 futures option market
4. Valuing American Options by Simulation: A Simple Least-Squares Approach
5. Monte Carlo Methods in Financial Engineering
6. An empirical investigation of continuous-time equity return models
7. A Tale of Two Indices
8. A FINITE DIFFERENCE METHOD FOR THE VALUATION OF VARIANCE SWAPS
9. The dynamics of stochastic volatility: evidence from underlying and options markets
10. Derivatives on Volatility: Some Simple Solutions Based on Observables Working Paper

Their papers

• A predictor-corrector approach for pricing American options under the finite moment log-stable model (2015) — 52 citations
• Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative (2014) — 55 citations
• An Analytical Formula for VIX Futures and its Applications (2012) — 113 citations
• Pricing VIX options with stochastic volatility and random jumps (2011) — 67 citations
• A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2010) — 135 citations
• A New Analytical-Approximation Formula for the Optimal Exercise Boundary of American Put Options (2006) — 79 citations
• A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield (2006) — 95 citations
• An exact and explicit solution for the valuation of American put options (2006) — 269 citations