14 citations · 30 across the 7 of their papers we have counts for
7 papers
Mean-variance-utility portfolio selection with time and state dependent risk aversion
Ben-Zhang Yang, Xin-Jiang He, Song-Ping Zhu
Under mean-variance-utility framework, we propose a new portfolio selection model, which allows wealth and time both have influences on risk aversion in the process of investment.…
Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
Ben-Zhang Yang, Xin-Jiang He, Song-Ping Zhu
In this paper, we propose a new class of optimization problems, which maximize the terminal wealth and accumulated consumption utility subject to a mean variance criterion controll…
Robust portfolio optimization with multi-factor stochastic volatility
Ben-Zhang Yang, Xiaoping Lu, Guiyuan Ma +1
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analy…
Valuation of contingent claims with short selling bans under an equal-risk pricing framework
Guiyuan Ma, Song-Ping Zhu, Ivan Guo
This paper studies the valuation of European contingent claims with short selling bans under the equal risk pricing (ERP) framework proposed in Guo and Zhu (2017) where analytical…
Pricing Parisian down-and-in options
Song-Ping Zhu, Nhat-Tan Le, Wen-Ting Chen +1
In this paper, we price American-style Parisian down-and-in call options under the Black-Scholes framework. Usually, pricing an American-style option is much more difficult than pr…
An exact and explicit formula for pricing Asian options with regime switching
Leunglung Chan, Song-Ping Zhu
This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian mo…
An exact and explicit formula for pricing lookback options with regime switching
Leunglung Chan, Song-Ping Zhu
This paper investigates the pricing of European-style lookback options when the price dynamics of the underlying risky asset are assumed to follow a Markov-modulated Geo-metric Bro…