Xin-Jiang He

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks	2024-04-17	Paper
Analytically pricing European options with a two-factor Stein-Stein model	2024-04-09	Paper
VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL	2023-04-28	Paper
A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching	2023-01-17	Paper
Continuous time mean–variance–utility portfolio problem and its equilibrium strategy	2022-12-01	Paper
Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching	2022-08-15	Paper
AN EMPIRICAL ANALYSIS OF OPTION PRICING WITH SHORT SELL BANS	2022-07-13	Paper
On a class of estimation and test for long memory	2022-07-01	Paper
Pricing credit default swaps with Parisian and Parasian default mechanics	2022-06-21	Paper
A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model	2022-04-26	Paper
Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching	2022-03-22	Paper
AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING	2021-10-26	Paper
Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory	2021-10-08	Paper
A new algorithm for calibrating local regime-switching models	2021-07-13	Paper
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean	2021-05-05	Paper
A revised option pricing formula with the underlying being banned from short selling	2020-12-07	Paper
A regime switching fractional Black-Scholes model and European option pricing	2020-10-15	Paper
An alternative form used to calibrate the Heston option pricing model	2020-10-12	Paper
A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate	2020-10-01	Paper
A new integral equation approach for pricing American-style barrier options with rebates	2020-09-14	Paper
A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL	2020-06-02	Paper
A Monte-Carlo based approach for pricing credit default swaps with regime switching	2020-02-05	Paper
An accurate approximation formula for pricing European options with discrete dividend payments	2019-09-25	Paper
An alternative form to calibrate the correlated Stein-Stein option pricing model	2019-09-04	Paper
An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model.	2019-08-05	Paper
VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING	2019-06-24	Paper
A modified Black-Scholes pricing formula for European options with bounded underlying prices	2019-03-25	Paper
A new integral equation formulation for American put options	2018-11-14	Paper
Pricing credit default swaps under a multi-scale stochastic volatility model	2018-11-13	Paper
The pricing of credit default swaps under a generalized mixed fractional Brownian motion	2018-09-20	Paper
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching	2018-08-10	Paper
How should a local regime-switching model be calibrated?	2018-08-09	Paper
A closed-form pricing formula for European options under the Heston model with stochastic interest rate	2018-04-16	Paper
Pricing European options with stochastic volatility under the minimal entropy martingale measure	2017-11-24	Paper
https://portal.mardi4nfdi.de/entity/Q5354450	2017-09-04	Paper

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