Sha Lin

MaRDI QIDQ1999663zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level The ANZIAM Journal	2024-12-31	Paper
Analytically pricing European options with a two-factor Stein-Stein model Journal of Computational and Applied Mathematics	2024-04-09	Paper
VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL The ANZIAM Journal	2023-04-28	Paper
A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching Japan Journal of Industrial and Applied Mathematics	2023-01-17	Paper
Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching Physica A	2022-08-15	Paper
Pricing credit default swaps with Parisian and Parasian default mechanics Communications in Statistics. Simulation and Computation	2022-06-21	Paper
A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model Chaos, Solitons and Fractals	2022-04-26	Paper
An analytical approximation formula for the pricing of credit default swaps with regime switching The ANZIAM Journal	2021-10-26	Paper
Pricing resettable convertible bonds using an integral equation approach IMA Journal of Management Mathematics	2021-07-13	Paper
A regime switching fractional Black-Scholes model and European option pricing Communications in Nonlinear Science and Numerical Simulation	2020-10-15	Paper
Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme Computers & Mathematics with Applications	2020-10-07	Paper
A new integral equation approach for pricing American-style barrier options with rebates Journal of Computational and Applied Mathematics	2020-09-14	Paper
A semi-analytical pricing formula for European options under the rough Heston-CIR model The ANZIAM Journal	2020-06-02	Paper
Pricing puttable convertible bonds with integral equation approaches Computers & Mathematics with Applications	2019-06-27	Paper
Option pricing under the KoBol model The ANZIAM Journal	2018-11-16	Paper

Research outcomes over time

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