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Xin-Jiang He

University of Wollongong

Australia

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Articles (29)

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Collaborators (1)

Song-Ping Zhu

Head of School, Senior Professor

University of Wollongong

AUSTRALIA

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Xin-Jiang He

Research Interests

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Articles (29)

A New Analytical Approach for Pricing Variance and Volatility Swaps: Incorporating Liquidity and Self‐Exciting Jumps

Analytically Pricing European Options Under Two‐Factor Stochastic Volatility With Stochastic Liquidity Risks

An Analytical Approximation for European Options Under a Regime‐Switching Heston‐α Model

How Does Economic Policy Uncertainty Reshape Option Pricing?

Analytically Pricing Commodity Futures Options Under Financialization With Stochastic Liquidity Risks

Variance and volatility swap valuation with stochastic liquidity and regime switching stochastic volatility

Vulnerable options under a Hawkes jump-diffusion model with two-factor stochastic volatility

Pricing American options with exogenous and endogenous transaction costs

American Option Pricing Under a Two‐Factor Stochastic Volatility Model With Nonlinear Exogenous Costs

Analytically pricing commodity futures options in a regime-switching financialization framework

An analytical approximation for European options under a Heston-type model with regime switching

Pricing energy futures options: The role of seasonality and liquidity

Analytically pricing crude oil options under a jump-diffusion model with stochastic liquidity risk and convenience yield

Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles

ANALYTICALLY PRICING EUROPEAN OPTIONS UNDER A TWO-FACTOR STOCHASTIC INTEREST RATE MODEL WITH A STOCHASTIC LONG-RUN EQUILIBRIUM LEVEL

Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks

Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure

Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks

Analytically pricing European options with a two-factor Stein–Stein model

A simple European option pricing formula with a skew Brownian motion

Exchange options with stochastic liquidity risk

Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure

Analytically pricing exchange options with stochastic liquidity and regime switching

Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

Volatility swaps valuation under a modified risk-neutralized Heston model with a stochastic long-run variance level

Continuous time mean–variance–utility portfolio problem and its equilibrium strategy

A closed-form pricing formula for European options in an illiquid asset market

Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model

VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL

Collaborators (1)

Song-Ping Zhu

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