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Author ID: zhu.songping Recent zbMATH articles by "Zhu, Songping"
Published as: Zhu, Song-Ping; Zhu, Songping; Zhu, S.-P.; Zhu, S.; Zhu, Song Ping; Zhu, S. P.
Homepage: https://scholars.uow.edu.au/display/song-ping_zhu
External Links: MGP · ORCID · Google Scholar · ResearchGate · dblp
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Serials

13 Computers & Mathematics with Applications
11 The ANZIAM Journal
9 Applied Mathematics and Computation
6 Journal of Economic Dynamics & Control
6 International Journal of Theoretical and Applied Finance
4 Quarterly of Applied Mathematics
4 Applied Mathematics Letters
4 Applied Mathematical Modelling
4 Engineering Analysis with Boundary Elements
4 Quantitative Finance
4 IMA Journal of Management Mathematics
3 Wave Motion
3 Journal of Computational and Applied Mathematics
3 European Journal of Applied Mathematics
3 Communications in Numerical Methods in Engineering
3 Journal of Applied Mathematics and Computing
2 Journal of the Australian Mathematical Society, Series B
2 Journal of Fluid Mechanics
2 Mathematical and Computer Modelling
2 Communications in Nonlinear Science and Numerical Simulation
2 Decisions in Economics and Finance
1 Computers and Fluids
1 International Journal of Control
1 Journal of Engineering Mathematics
1 Automatica
1 Journal of Optimization Theory and Applications
1 Applied Numerical Mathematics
1 Optimization
1 Asymptotic Analysis
1 Acta Mathematica Universitatis Comenianae. New Series
1 Journal of Hydrodynamics. Ser. B
1 European Journal of Operational Research
1 International Journal of Computer Mathematics
1 Proceedings of the Royal Society of London. Series A. Mathematical and Physical Sciences
1 Physics of Fluids
1 Computational and Applied Mathematics
1 Mathematical Finance
1 Probability in the Engineering and Informational Sciences
1 CMES. Computer Modeling in Engineering & Sciences
1 Dynamics of Continuous, Discrete & Impulsive Systems. Series B. Applications & Algorithms
1 Journal of Industrial and Management Optimization
1 Mathematics and Financial Economics
1 Communications in Mathematical Research

Publications by Year

Citations contained in zbMATH Open

94 Publications have been cited 778 times in 503 Documents Cited by Year
An exact and explicit solution for the valuation of American put options. Zbl 1136.91468
Zhu, Song-Ping
103
2006
A closed-form exact solution for pricing variance swaps with stochastic volatility. Zbl 1214.91115
Zhu, Song-Ping; Lian, Guang-Hua
44
2011
A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility. Zbl 1228.91077
Zhu, Song-Ping; Chen, Wen-Ting
38
2011
A closed form-analytical solution for the valuation of convertible bonds with constant dividend field. Zbl 1147.91336
Zhu, Songping
37
2006
Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative. Zbl 1299.91139
Chen, Wenting; Xu, Xiang; Zhu, Song-Ping
28
2014
A new analytical approximation formula for the optimal exercise boundary of American put options. Zbl 1140.91415
Zhu, Song-Ping
25
2006
A predictor-corrector approach for pricing American options under the finite moment log-stable model. Zbl 1329.91136
Chen, Wenting; Xu, Xiang; Zhu, Song-Ping
22
2015
Analytically pricing double barrier options based on a time-fractional Black-Scholes equation. Zbl 1443.91285
Chen, Wenting; Xu, Xiang; Zhu, Song-Ping
22
2015
An efficient computational method for modelling transient heat conduction with nonlinear source terms. Zbl 0856.73077
Zhu, Songping; Satravaha, Pornchai
21
1996
A new exact solution for pricing European options in a two-state regime-switching economy. Zbl 1268.91170
Zhu, Song-Ping; Badran, Alexander; Lu, Xiaoping
20
2012
An explicit series approximation to the optimal exercise boundary of American put options. Zbl 1221.91053
Cheng, Jun; Zhu, Song-Ping; Liao, Shi-Jun
18
2010
New solutions for the propagation of long water waves over variable depth. Zbl 0819.76013
Zhang, Yinglong; Zhu, Songping
16
1994
A closed-form pricing formula for European options under the Heston model with stochastic interest rate. Zbl 1408.91215
He, Xin-Jiang; Zhu, Song-Ping
15
2018
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility. Zbl 1260.91102
Rujivan, Sanae; Zhu, Song-Ping
15
2012
On the valuation of variance swaps with stochastic volatility. Zbl 1290.91169
Zhu, Song-Ping; Lian, Guang-Hua
14
2012
A general DRBEM model for wave refraction and diffraction. Zbl 0980.76056
Zhu, Song-Ping; Liu, Huan-Wen; Chen, Ke
13
2000
The dual reciprocity boundary element method for magnetohydrodynamic channel flows. Zbl 1017.76059
Liu, Huan-Wen; Zhu, Song-Ping
11
2002
How should a local regime-switching model be calibrated? Zbl 1401.91493
He, Xin-Jiang; Zhu, Song-Ping
11
2017
Pricing Parisian and Parasian options analytically. Zbl 1346.91242
Zhu, Song-Ping; Chen, Wen-Ting
10
2013
Scattering of long waves around a circular island mounted on a conical shoal. Zbl 0921.76021
Zhu, Songping; Zhang, Yinglong
10
1996
Pricing VIX options with stochastic volatility and random jumps. Zbl 1273.91442
Lian, Guang-Hua; Zhu, Song-Ping
10
2013
Improvement on dual reciprocity boundary element method for equations with convective terms. Zbl 0807.65119
Zhu, Songping; Zhang, Yinglong
10
1994
A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model. Zbl 1298.91169
Rujivan, Sanae; Zhu, Song-Ping
9
2014
An inverse finite element method for pricing American options. Zbl 1345.91083
Zhu, Song-Ping; Chen, Wen-Ting
9
2013
Dynamic portfolio choice with return predictability and transaction costs. Zbl 1431.91366
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping
9
2019
Optimal investment and consumption under a continuous-time cointegration model with exponential utility. Zbl 1420.91427
Ma, Guiyuan; Zhu, Song-Ping
9
2019
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching. Zbl 1401.91531
He, Xin-Jiang; Zhu, Song-Ping
9
2016
Open channel flow past a bottom obstruction. Zbl 0868.76011
Zhang, Yinglong; Zhu, Songping
9
1996
A perturbation DRBEM model for weakly nonlinear wave run-ups around islands. Zbl 1188.76233
Zhu, Song-Ping; Liu, Huanwen; Marchant, Timothy R.
8
2009
Calculating the early exercise boundary of American put options with an approximation formula. Zbl 1153.91581
Zhu, Song-Ping; He, Zhi-Wei
8
2007
A combination of LTDRM and ATPS in solving diffusion problems. Zbl 0941.80008
Zhu, Song-Ping; Liu, Huanwen; Lu, Xiaoping
8
1998
A new predictor-corrector scheme for valuing American puts. Zbl 1237.91236
Zhu, Song-Ping; Zhang, Jin
8
2011
An application of the LTDRM to transient diffusion problems with nonlinear material properties and nonlinear boundary conditions. Zbl 0907.65097
Satravaha, Pornchai; Zhu, Songping
7
1997
Equal risk pricing under convex trading constraints. Zbl 1401.91530
Guo, Ivan; Zhu, Song-Ping
7
2017
Pricing perpetual American puts under multi-scale stochastic volatility. Zbl 1272.91119
Chen, Wen-Ting; Zhu, Song-Ping
6
2012
Solving transient diffusion problems: Time-dependent fundamental solution approaches versus LTDRM approaches. Zbl 0979.76525
Zhu, Song-Ping
6
1998
A DRBEM model for microwave heating problems. Zbl 0836.65141
Zhu, Songping; Zhang, Yinglong; Marchant, Timothy R.
6
1995
An explicit analytic formula for pricing barrier options with regime switching. Zbl 1308.91158
Chan, Leunglung; Zhu, Song-Ping
6
2015
A new numerical approach for solving high-order non-linear ordinary differential equations. Zbl 1025.65039
Zhu, Songping; Phan, Hung Thanh
5
2003
Pricing European options with stochastic volatility under the minimal entropy martingale measure. Zbl 1408.91214
He, Xin-Jiang; Zhu, Song-Ping
5
2016
Analytically pricing volatility swaps under stochastic volatility. Zbl 1314.91220
Zhu, Song-Ping; Lian, Guang-Hua
5
2015
On the application of multiquadric bases in conjunction with the LTDRM method to solve nonlinear diffusion equations. Zbl 0943.65118
Zhu, Song-Ping; Liu, Huan-Wen
5
1998
Pricing Parisian down-and-in options. Zbl 1318.35134
Zhu, Song-Ping; Le, Nhat-Tan; Chen, Wenting; Lu, Xiaoping
5
2015
Patterns of ship waves. Zbl 0689.76006
Yih, Chia-Shun; Zhu, Songping
5
1989
A spectral-collocation method for pricing perpetual American puts with stochastic volatility. Zbl 1231.91482
Zhu, Song-Ping; Chen, Wen-Ting
4
2011
A new analytical approximation for European puts with stochastic volatility. Zbl 1186.91224
Zhu, Song-Ping; Chen, Wen-Ting
4
2010
Pricing American call options under a hard-to-borrow stock model. Zbl 1401.91537
Ma, Guiyuan; Zhu, Song-Ping
4
2018
Subcritical, transcritical and supercritical flows over a step. Zbl 0912.76006
Zhang, Yinglong; Zhu, Songping
4
1997
Pricing European call options under a hard-to-borrow stock model. Zbl 1429.91325
Ma, Guiyuan; Zhu, Song-Ping; Chen, Wenting
4
2019
Pricing perpetual American options under a stochastic-volatility model with fast mean reversion. Zbl 1216.91035
Zhu, Song-Ping; Chen, Wen-Ting
3
2011
Pricing forward-start variance swaps with stochastic volatility. Zbl 1328.91283
Zhu, Song-Ping; Lian, Guang-Hua
3
2015
Diffraction of ocean waves around a hollow cylindrical shell structure. Zbl 1231.76060
Zhu, Song-Ping; Mitchell, Lewis
3
2009
Should an American option be exercised earlier or later if volatility is not assumed to be a constant? Zbl 1233.91292
Zhu, Song-Ping; Chen, Wen-Ting
3
2011
How should a convertible bond be decomposed? Zbl 1257.91048
Zhu, Song-Ping; Zhang, Jing
3
2012
Numerical simulation of discharged waste heat and contaminants into the south estuary of the Yangtze river. Zbl 0801.76072
Yu, L.; Zhu, S.-P.
3
1993
Optimal execution with regime-switching market resilience. Zbl 1411.91648
Siu, Chi Chung; Guo, Ivan; Zhu, Song-Ping; Elliott, Robert J.
3
2019
Pricing American-style Parisian down-and-out call options. Zbl 1411.91571
Le, Nhat-Tan; Lu, Xiaoping; Zhu, Song-Ping; Dang, Duy-Minh
3
2017
An analytic formula for pricing American-style convertible bonds in a regime switching model. Zbl 1433.91172
Chan, Leunglung; Zhu, Song-Ping
3
2015
Pricing puttable convertible bonds with integral equation approaches. Zbl 1415.91297
Zhu, Song-Ping; Lin, Sha; Lu, Xiaoping
3
2018
Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates. Zbl 1390.91321
Ma, Jingtang; Tang, Hongji; Zhu, Song-Ping
3
2018
An analytical solution for long wave refraction over a circular hump. Zbl 1420.35270
Zhu, Song-Ping; Harun, Fatimah Noor
3
2009
On linear transient free-surface flows over a bottom obstruction. Zbl 1185.76461
Zhu, Songping; Zhang, Yinglong
3
1997
A three-dimensional numerical model of the response of the Australian North West Shelf to tropical cyclones. Zbl 0825.76125
Zhu, Songping; Imberger, Jörg
3
1994
A new integral equation formulation for American put options. Zbl 1400.91627
Zhu, Song-Ping; He, Xin-Jiang; Lu, Xiaoping
3
2018
Robust portfolio optimization with multi-factor stochastic volatility. Zbl 1466.91300
Yang, Ben-Zhang; Lu, Xiaoping; Ma, Guiyuan; Zhu, Song-Ping
3
2020
A revised option pricing formula with the underlying being banned from short selling. Zbl 1454.91289
He, Xin-Jiang; Zhu, Song-Ping
3
2020
A comparison study of nonlinear waves generated behind a semicircular trench. Zbl 0873.76012
Zhang, Yinglong; Zhu, Songping
3
1996
Patterns of ship waves. II: Gravity-capillary waves. Zbl 0689.76008
Yih, Chia-Shun; Zhu, Songping
3
1989
A flat ship theory on bow and stern flows. Zbl 1187.76629
Zhu, Songping; Zhang, Yinglong
2
2003
A numerical model for multiphase flow based on the GMPPS formulation. I: Kinematics. Zbl 1194.76195
Bierbrauer, Frank; Zhu, Song-Ping
2
2007
A comparative study of the direct boundary element method and the dual reciprocity boundary element method in solving the Helmholtz equation. Zbl 1135.65405
Zhu, Song-Ping; Zhang, Yinglong
2
2007
A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate. Zbl 1442.91102
He, Xin-Jiang; Zhu, Song-Ping
2
2018
Using Laplace transform to price American puts. Zbl 1275.91150
Zhu, Song-Ping; Zhang, Jin
2
2012
Combined Laplace transform and dual reciprocitity method for solving time-dependent diffusion equations with nonlinear source terms. Zbl 0820.65060
Zhu, S.; Satravaha, P.
2
1994
Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme. Zbl 1448.91325
Lin, Sha; Zhu, Song-Ping
2
2020
Selective withdrawal from stratified streams. Zbl 0858.76096
Yih, Chia-Shun; Zhu, Songping
2
1996
On the convergence of He and Zhu’s new series solution for pricing options with the Heston model. Zbl 1399.91128
Zhu, Song-Ping; He, Xin-Jiang
1
2017
On the Adomian decomposition method for solving PDEs. Zbl 1363.65183
Zhu, Songping; Lee, Jonu
1
2016
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching. Zbl 1411.91557
He, Xin-Jiang; Zhu, Song-Ping
1
2019
An appropriate approach to pricing European-style options with the Adomian decomposition method. Zbl 1387.35582
Ke, Ziwie; Goard, Joanna; Zhu, Song-Ping
1
2018
Pricing European options on regime-switching assets: a comparative study of Monte Carlo and finite-difference approaches. Zbl 1407.91281
Zeng, X. C.; Guo, I.; Zhu, S. P.
1
2017
On the improvement of a numerical method for solving high-order non-linear ordinary differential equations. Zbl 1141.65060
Zhu, Songping; Hammel, Christian G.
1
2008
An analytical solution for Parisian up-and-in calls. Zbl 1415.91286
Le, Nhat-Tan; Lu, Xiaoping; Zhu, Song-Ping
1
2016
A note on the calculation of default probabilities in “Structural credit risk modeling with Hawkes jump-diffusion processes”. Zbl 1447.91187
Pasricha, Puneet; Lu, Xiaoping; Zhu, Song-Ping
1
2021
A numerical study of the utility-indifference approach for pricing American options. Zbl 1448.91326
Yan, Dong; Zhu, Song-Ping; Lu, Xiaoping
1
2020
Time-dependent reaction-diffusion problems and the LTDRM approach. Zbl 0942.65118
Zhu, S.-P.
1
1999
Stationary Binnie waves near resonance. Zbl 0759.76014
Zhu, Songping
1
1992
An application of the LTDRM to nonlinear transient heat conduction problems. Zbl 0839.65142
Satravaha, P.; Zhu, S.
1
1995
A new simple tree approach for the Heston’s stochastic volatility model. Zbl 1442.91118
Zeng, Xiang-Chen; Zhu, Song-Ping
1
2019
Stock loan valuation under a stochastic interest rate model. Zbl 1443.91307
Chen, Wenting; Xu, Liangbin; Zhu, Song-Ping
1
2015
An integral equation approach for the valuation of American-style down-and-out calls with rebates. Zbl 1443.91331
Le, Nhat-Tan; Zhu, Song-Ping; Lu, Xiaoping
1
2016
A combination of LTDRM and ATPS in solving diffusion problems. Zbl 0980.65110
Zhu, S.-P.; Liu, H.-W.; Lu, X.-P.
1
1998
An empirical analysis of option pricing with short sell bans. Zbl 07556292
Alfeus, Mesias; He, Xin-Jiang; Zhu, Song-Ping
1
2022
Optimal portfolio execution problem with stochastic price impact. Zbl 1430.91086
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping; Elliott, Robert J.
1
2020
An empirical analysis of option pricing with short sell bans. Zbl 07556292
Alfeus, Mesias; He, Xin-Jiang; Zhu, Song-Ping
1
2022
A note on the calculation of default probabilities in “Structural credit risk modeling with Hawkes jump-diffusion processes”. Zbl 1447.91187
Pasricha, Puneet; Lu, Xiaoping; Zhu, Song-Ping
1
2021
Robust portfolio optimization with multi-factor stochastic volatility. Zbl 1466.91300
Yang, Ben-Zhang; Lu, Xiaoping; Ma, Guiyuan; Zhu, Song-Ping
3
2020
A revised option pricing formula with the underlying being banned from short selling. Zbl 1454.91289
He, Xin-Jiang; Zhu, Song-Ping
3
2020
Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme. Zbl 1448.91325
Lin, Sha; Zhu, Song-Ping
2
2020
A numerical study of the utility-indifference approach for pricing American options. Zbl 1448.91326
Yan, Dong; Zhu, Song-Ping; Lu, Xiaoping
1
2020
Optimal portfolio execution problem with stochastic price impact. Zbl 1430.91086
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping; Elliott, Robert J.
1
2020
Dynamic portfolio choice with return predictability and transaction costs. Zbl 1431.91366
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping
9
2019
Optimal investment and consumption under a continuous-time cointegration model with exponential utility. Zbl 1420.91427
Ma, Guiyuan; Zhu, Song-Ping
9
2019
Pricing European call options under a hard-to-borrow stock model. Zbl 1429.91325
Ma, Guiyuan; Zhu, Song-Ping; Chen, Wenting
4
2019
Optimal execution with regime-switching market resilience. Zbl 1411.91648
Siu, Chi Chung; Guo, Ivan; Zhu, Song-Ping; Elliott, Robert J.
3
2019
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching. Zbl 1411.91557
He, Xin-Jiang; Zhu, Song-Ping
1
2019
A new simple tree approach for the Heston’s stochastic volatility model. Zbl 1442.91118
Zeng, Xiang-Chen; Zhu, Song-Ping
1
2019
A closed-form pricing formula for European options under the Heston model with stochastic interest rate. Zbl 1408.91215
He, Xin-Jiang; Zhu, Song-Ping
15
2018
Pricing American call options under a hard-to-borrow stock model. Zbl 1401.91537
Ma, Guiyuan; Zhu, Song-Ping
4
2018
Pricing puttable convertible bonds with integral equation approaches. Zbl 1415.91297
Zhu, Song-Ping; Lin, Sha; Lu, Xiaoping
3
2018
Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates. Zbl 1390.91321
Ma, Jingtang; Tang, Hongji; Zhu, Song-Ping
3
2018
A new integral equation formulation for American put options. Zbl 1400.91627
Zhu, Song-Ping; He, Xin-Jiang; Lu, Xiaoping
3
2018
A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate. Zbl 1442.91102
He, Xin-Jiang; Zhu, Song-Ping
2
2018
An appropriate approach to pricing European-style options with the Adomian decomposition method. Zbl 1387.35582
Ke, Ziwie; Goard, Joanna; Zhu, Song-Ping
1
2018
How should a local regime-switching model be calibrated? Zbl 1401.91493
He, Xin-Jiang; Zhu, Song-Ping
11
2017
Equal risk pricing under convex trading constraints. Zbl 1401.91530
Guo, Ivan; Zhu, Song-Ping
7
2017
Pricing American-style Parisian down-and-out call options. Zbl 1411.91571
Le, Nhat-Tan; Lu, Xiaoping; Zhu, Song-Ping; Dang, Duy-Minh
3
2017
On the convergence of He and Zhu’s new series solution for pricing options with the Heston model. Zbl 1399.91128
Zhu, Song-Ping; He, Xin-Jiang
1
2017
Pricing European options on regime-switching assets: a comparative study of Monte Carlo and finite-difference approaches. Zbl 1407.91281
Zeng, X. C.; Guo, I.; Zhu, S. P.
1
2017
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching. Zbl 1401.91531
He, Xin-Jiang; Zhu, Song-Ping
9
2016
Pricing European options with stochastic volatility under the minimal entropy martingale measure. Zbl 1408.91214
He, Xin-Jiang; Zhu, Song-Ping
5
2016
On the Adomian decomposition method for solving PDEs. Zbl 1363.65183
Zhu, Songping; Lee, Jonu
1
2016
An analytical solution for Parisian up-and-in calls. Zbl 1415.91286
Le, Nhat-Tan; Lu, Xiaoping; Zhu, Song-Ping
1
2016
An integral equation approach for the valuation of American-style down-and-out calls with rebates. Zbl 1443.91331
Le, Nhat-Tan; Zhu, Song-Ping; Lu, Xiaoping
1
2016
A predictor-corrector approach for pricing American options under the finite moment log-stable model. Zbl 1329.91136
Chen, Wenting; Xu, Xiang; Zhu, Song-Ping
22
2015
Analytically pricing double barrier options based on a time-fractional Black-Scholes equation. Zbl 1443.91285
Chen, Wenting; Xu, Xiang; Zhu, Song-Ping
22
2015
An explicit analytic formula for pricing barrier options with regime switching. Zbl 1308.91158
Chan, Leunglung; Zhu, Song-Ping
6
2015
Analytically pricing volatility swaps under stochastic volatility. Zbl 1314.91220
Zhu, Song-Ping; Lian, Guang-Hua
5
2015
Pricing Parisian down-and-in options. Zbl 1318.35134
Zhu, Song-Ping; Le, Nhat-Tan; Chen, Wenting; Lu, Xiaoping
5
2015
Pricing forward-start variance swaps with stochastic volatility. Zbl 1328.91283
Zhu, Song-Ping; Lian, Guang-Hua
3
2015
An analytic formula for pricing American-style convertible bonds in a regime switching model. Zbl 1433.91172
Chan, Leunglung; Zhu, Song-Ping
3
2015
Stock loan valuation under a stochastic interest rate model. Zbl 1443.91307
Chen, Wenting; Xu, Liangbin; Zhu, Song-Ping
1
2015
Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative. Zbl 1299.91139
Chen, Wenting; Xu, Xiang; Zhu, Song-Ping
28
2014
A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model. Zbl 1298.91169
Rujivan, Sanae; Zhu, Song-Ping
9
2014
Pricing Parisian and Parasian options analytically. Zbl 1346.91242
Zhu, Song-Ping; Chen, Wen-Ting
10
2013
Pricing VIX options with stochastic volatility and random jumps. Zbl 1273.91442
Lian, Guang-Hua; Zhu, Song-Ping
10
2013
An inverse finite element method for pricing American options. Zbl 1345.91083
Zhu, Song-Ping; Chen, Wen-Ting
9
2013
A new exact solution for pricing European options in a two-state regime-switching economy. Zbl 1268.91170
Zhu, Song-Ping; Badran, Alexander; Lu, Xiaoping
20
2012
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility. Zbl 1260.91102
Rujivan, Sanae; Zhu, Song-Ping
15
2012
On the valuation of variance swaps with stochastic volatility. Zbl 1290.91169
Zhu, Song-Ping; Lian, Guang-Hua
14
2012
Pricing perpetual American puts under multi-scale stochastic volatility. Zbl 1272.91119
Chen, Wen-Ting; Zhu, Song-Ping
6
2012
How should a convertible bond be decomposed? Zbl 1257.91048
Zhu, Song-Ping; Zhang, Jing
3
2012
Using Laplace transform to price American puts. Zbl 1275.91150
Zhu, Song-Ping; Zhang, Jin
2
2012
A closed-form exact solution for pricing variance swaps with stochastic volatility. Zbl 1214.91115
Zhu, Song-Ping; Lian, Guang-Hua
44
2011
A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility. Zbl 1228.91077
Zhu, Song-Ping; Chen, Wen-Ting
38
2011
A new predictor-corrector scheme for valuing American puts. Zbl 1237.91236
Zhu, Song-Ping; Zhang, Jin
8
2011
A spectral-collocation method for pricing perpetual American puts with stochastic volatility. Zbl 1231.91482
Zhu, Song-Ping; Chen, Wen-Ting
4
2011
Pricing perpetual American options under a stochastic-volatility model with fast mean reversion. Zbl 1216.91035
Zhu, Song-Ping; Chen, Wen-Ting
3
2011
Should an American option be exercised earlier or later if volatility is not assumed to be a constant? Zbl 1233.91292
Zhu, Song-Ping; Chen, Wen-Ting
3
2011
An explicit series approximation to the optimal exercise boundary of American put options. Zbl 1221.91053
Cheng, Jun; Zhu, Song-Ping; Liao, Shi-Jun
18
2010
A new analytical approximation for European puts with stochastic volatility. Zbl 1186.91224
Zhu, Song-Ping; Chen, Wen-Ting
4
2010
A perturbation DRBEM model for weakly nonlinear wave run-ups around islands. Zbl 1188.76233
Zhu, Song-Ping; Liu, Huanwen; Marchant, Timothy R.
8
2009
Diffraction of ocean waves around a hollow cylindrical shell structure. Zbl 1231.76060
Zhu, Song-Ping; Mitchell, Lewis
3
2009
An analytical solution for long wave refraction over a circular hump. Zbl 1420.35270
Zhu, Song-Ping; Harun, Fatimah Noor
3
2009
On the improvement of a numerical method for solving high-order non-linear ordinary differential equations. Zbl 1141.65060
Zhu, Songping; Hammel, Christian G.
1
2008
Calculating the early exercise boundary of American put options with an approximation formula. Zbl 1153.91581
Zhu, Song-Ping; He, Zhi-Wei
8
2007
A numerical model for multiphase flow based on the GMPPS formulation. I: Kinematics. Zbl 1194.76195
Bierbrauer, Frank; Zhu, Song-Ping
2
2007
A comparative study of the direct boundary element method and the dual reciprocity boundary element method in solving the Helmholtz equation. Zbl 1135.65405
Zhu, Song-Ping; Zhang, Yinglong
2
2007
An exact and explicit solution for the valuation of American put options. Zbl 1136.91468
Zhu, Song-Ping
103
2006
A closed form-analytical solution for the valuation of convertible bonds with constant dividend field. Zbl 1147.91336
Zhu, Songping
37
2006
A new analytical approximation formula for the optimal exercise boundary of American put options. Zbl 1140.91415
Zhu, Song-Ping
25
2006
A new numerical approach for solving high-order non-linear ordinary differential equations. Zbl 1025.65039
Zhu, Songping; Phan, Hung Thanh
5
2003
A flat ship theory on bow and stern flows. Zbl 1187.76629
Zhu, Songping; Zhang, Yinglong
2
2003
The dual reciprocity boundary element method for magnetohydrodynamic channel flows. Zbl 1017.76059
Liu, Huan-Wen; Zhu, Song-Ping
11
2002
A general DRBEM model for wave refraction and diffraction. Zbl 0980.76056
Zhu, Song-Ping; Liu, Huan-Wen; Chen, Ke
13
2000
Time-dependent reaction-diffusion problems and the LTDRM approach. Zbl 0942.65118
Zhu, S.-P.
1
1999
A combination of LTDRM and ATPS in solving diffusion problems. Zbl 0941.80008
Zhu, Song-Ping; Liu, Huanwen; Lu, Xiaoping
8
1998
Solving transient diffusion problems: Time-dependent fundamental solution approaches versus LTDRM approaches. Zbl 0979.76525
Zhu, Song-Ping
6
1998
On the application of multiquadric bases in conjunction with the LTDRM method to solve nonlinear diffusion equations. Zbl 0943.65118
Zhu, Song-Ping; Liu, Huan-Wen
5
1998
A combination of LTDRM and ATPS in solving diffusion problems. Zbl 0980.65110
Zhu, S.-P.; Liu, H.-W.; Lu, X.-P.
1
1998
An application of the LTDRM to transient diffusion problems with nonlinear material properties and nonlinear boundary conditions. Zbl 0907.65097
Satravaha, Pornchai; Zhu, Songping
7
1997
Subcritical, transcritical and supercritical flows over a step. Zbl 0912.76006
Zhang, Yinglong; Zhu, Songping
4
1997
On linear transient free-surface flows over a bottom obstruction. Zbl 1185.76461
Zhu, Songping; Zhang, Yinglong
3
1997
An efficient computational method for modelling transient heat conduction with nonlinear source terms. Zbl 0856.73077
Zhu, Songping; Satravaha, Pornchai
21
1996
Scattering of long waves around a circular island mounted on a conical shoal. Zbl 0921.76021
Zhu, Songping; Zhang, Yinglong
10
1996
Open channel flow past a bottom obstruction. Zbl 0868.76011
Zhang, Yinglong; Zhu, Songping
9
1996
A comparison study of nonlinear waves generated behind a semicircular trench. Zbl 0873.76012
Zhang, Yinglong; Zhu, Songping
3
1996
Selective withdrawal from stratified streams. Zbl 0858.76096
Yih, Chia-Shun; Zhu, Songping
2
1996
A DRBEM model for microwave heating problems. Zbl 0836.65141
Zhu, Songping; Zhang, Yinglong; Marchant, Timothy R.
6
1995
An application of the LTDRM to nonlinear transient heat conduction problems. Zbl 0839.65142
Satravaha, P.; Zhu, S.
1
1995
New solutions for the propagation of long water waves over variable depth. Zbl 0819.76013
Zhang, Yinglong; Zhu, Songping
16
1994
Improvement on dual reciprocity boundary element method for equations with convective terms. Zbl 0807.65119
Zhu, Songping; Zhang, Yinglong
10
1994
A three-dimensional numerical model of the response of the Australian North West Shelf to tropical cyclones. Zbl 0825.76125
Zhu, Songping; Imberger, Jörg
3
1994
Combined Laplace transform and dual reciprocitity method for solving time-dependent diffusion equations with nonlinear source terms. Zbl 0820.65060
Zhu, S.; Satravaha, P.
2
1994
Numerical simulation of discharged waste heat and contaminants into the south estuary of the Yangtze river. Zbl 0801.76072
Yu, L.; Zhu, S.-P.
3
1993
Stationary Binnie waves near resonance. Zbl 0759.76014
Zhu, Songping
1
1992
Patterns of ship waves. Zbl 0689.76006
Yih, Chia-Shun; Zhu, Songping
5
1989
Patterns of ship waves. II: Gravity-capillary waves. Zbl 0689.76008
Yih, Chia-Shun; Zhu, Songping
3
1989
all top 5

Cited by 689 Authors

68 Zhu, Songping
20 Chen, Wenting
20 He, Xinjiang
17 Hayat, Tasawar
16 Liao, Shijun
16 Lu, Xiaoping
10 Abbas, Zaheer
10 Lin, Sha
10 Sajid, Muhammad
9 Liu, Huanwen
9 Ma, Jingtang
9 Rujivan, Sanae
8 Cui, Zhenyu
8 Kim, Jeong-Hoon
7 Abbasbandy, Saeid
7 Lian, Guanghua
7 Zhou, Zhiqiang
6 Goard, Joanna M.
6 Ma, Guiyuan
6 Shivanian, Elyas
6 Tadeu, António J. B.
6 Tangman, Désiré Yannick
6 Tezer-Sezgin, Munevver
6 Yang, Ben-Zhang
5 Huang, Nan-Jing
5 Javed, Tariq
5 Le, Nhat-Tan
5 Liu, Fawang
5 Thakoor, Nawdha
5 Vajravelu, Kuppalapalle
5 Wong, Hoi Ying
4 Bozkaya, Canan
4 Chan, Leunglung
4 Chen, Xu
4 Ding, Deng
4 Elliott, Robert James
4 Guo, Ivan
4 Lei, Siulong
4 Patidar, Kailash C.
4 Putri, Endah R. M.
4 Saberi Nik, Hassan
4 Turner, Ian William
4 Vanden-Broeck, Jean-Marc
4 Wang, Wenfei
4 Xu, Hang
4 Xu, Xiang
3 Asghar, Saleem
3 Binder, Benjamin James
3 Cao, Jiling
3 Cen, Zhongdi
3 Chen, Shanzhen
3 Cheng, Jun
3 Cheung, Kwok Fai
3 Cooker, Mark J.
3 Dehghan Takht Fooladi, Mehdi
3 Effati, Sohrab
3 Fan, Congyin
3 Gao, Xiaowei
3 Gao, Xuemei
3 Godinho, Luís M. C.
3 Jia, Zhaoli
3 Khaliq, Abdul Q. M.
3 Kim, See-Woo
3 Kwok, Yue-Kuen
3 Li, Shenghong
3 Mansur, Webe Joao
3 McCue, Scott William
3 Mekchay, Khamron
3 Mesgarani, Hamid
3 Mohapatra, Ram Narayan
3 Părău, Emilian I.
3 Popov, Viktor
3 Roslan, Teh Raihana Nazirah
3 Ševčovič, Daniel
3 Simões, Nuno
3 Siu, Chi Chung
3 Siu, Tak Kuen
3 Song, Haiming
3 Song, Lina
3 Tour, Geraldine
3 Wu, Yongyan
3 Yan, Dong
3 Zhang, Jin E.
3 Zhang, Wenjun
3 Zhang, Yinglong
3 Zheng, Wendong
2 Aguilar, Jean-Philippe
2 Ahmadi, Zaniar
2 Alghalith, Moawia
2 Anh, Vo V.
2 Ashrafi, Ali Reza
2 Aydın, Selçuk Han
2 Badescu, Alexandru M.
2 Badran, Alexander
2 Bingham, Harry B.
2 Bourantas, George C.
2 Buzhabadi, Reza
2 Cerrato, Antonio
2 Chen, Ke
2 Chern, Shane
...and 589 more Authors
all top 5

Cited in 125 Serials

41 Engineering Analysis with Boundary Elements
29 Journal of Computational and Applied Mathematics
25 Computers & Mathematics with Applications
23 The ANZIAM Journal
23 Quantitative Finance
17 Applied Mathematics and Computation
17 Communications in Nonlinear Science and Numerical Simulation
15 Chaos, Solitons and Fractals
12 International Journal of Theoretical and Applied Finance
11 Applied Mathematical Modelling
10 Physica A
10 International Journal of Computer Mathematics
9 Wave Motion
9 Numerical Algorithms
9 European Journal of Operational Research
9 Computational and Applied Mathematics
7 Journal of Economic Dynamics & Control
6 Applied Numerical Mathematics
6 Applied Mathematics Letters
6 Mathematical and Computer Modelling
6 European Journal of Applied Mathematics
6 Physics of Fluids
5 Mathematics and Computers in Simulation
5 Applied Mathematical Finance
5 Mathematical Problems in Engineering
5 Discrete Dynamics in Nature and Society
5 Nonlinear Analysis. Real World Applications
5 Journal of Applied Mathematics and Computing
5 Review of Derivatives Research
4 International Journal of Heat and Mass Transfer
4 Journal of Engineering Mathematics
4 Journal of Fluid Mechanics
4 Abstract and Applied Analysis
4 European Journal of Mechanics. B. Fluids
4 Probability in the Engineering and Informational Sciences
4 Advances in Difference Equations
3 International Journal for Numerical Methods in Fluids
3 Journal of Optimization Theory and Applications
3 Insurance Mathematics & Economics
3 Numerical Methods for Partial Differential Equations
3 Journal of Scientific Computing
3 Japan Journal of Industrial and Applied Mathematics
3 Methodology and Computing in Applied Probability
3 Decisions in Economics and Finance
3 Journal of Applied Mathematics
3 Asia-Pacific Financial Markets
2 Computer Physics Communications
2 Journal of Computational Physics
2 Journal of Mathematical Analysis and Applications
2 Applied Mathematics and Optimization
2 Automatica
2 Chinese Annals of Mathematics. Series B
2 Computational Mechanics
2 Annals of Operations Research
2 Complexity
2 Finance and Stochastics
2 Nonlinear Dynamics
2 Fractional Calculus & Applied Analysis
2 Journal of Systems Science and Complexity
2 Journal of Industrial and Management Optimization
2 Acta Mechanica Sinica
2 Mathematics and Financial Economics
2 SIAM Journal on Financial Mathematics
2 International Journal of Differential Equations
2 East Asian Journal on Applied Mathematics
2 Journal of Function Spaces
2 Computational Methods for Differential Equations
2 International Journal of Applied and Computational Mathematics
1 Acta Mechanica
1 Applicable Analysis
1 Computers and Fluids
1 Geophysical and Astrophysical Fluid Dynamics
1 Journal of Mathematical Physics
1 Mathematical Methods in the Applied Sciences
1 Physics Letters. A
1 Theoretical and Computational Fluid Dynamics
1 International Journal for Numerical Methods in Engineering
1 Statistics & Probability Letters
1 Applied Mathematics and Mechanics. (English Edition)
1 Stochastic Analysis and Applications
1 Optimization
1 Journal of Integral Equations and Applications
1 Communications in Statistics. Simulation and Computation
1 Communications in Statistics. Theory and Methods
1 Archive of Applied Mechanics
1 Applied Mathematics. Series B (English Edition)
1 Communications in Numerical Methods in Engineering
1 International Journal of Numerical Methods for Heat & Fluid Flow
1 Fractals
1 Journal of Inverse and Ill-Posed Problems
1 Journal of Vibration and Control
1 Mathematical Finance
1 Vietnam Journal of Mathematics
1 Analysis (München)
1 Engineering Computations
1 Applied Sciences
1 Scandinavian Actuarial Journal
1 Proceedings of the National Academy of Sciences, India. Section A. Physical Sciences
1 Applied Mathematics E-Notes
1 Journal of Function Spaces and Applications
...and 25 more Serials

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