Ma and Xu (2016) proposed a Hawkes jump–diffusion model for the firm's value to describe
the unexpectedness of default and default clustering in the framework of Merton's structural …

This paper studies the numerical methods for solving a partial differential equation (PDE)
with spatial delay arising in option pricing under hard-to-borrow model. A new expansion …

While a classic result by Merton (1973, Bell J. Econ. Manage. Sci., 141–183) is that one
should never exercise an American call option just before expiration if the underlying stock …

In this paper, we establish the pricing framework of European options in the presence of the
looping contagion risk. First, the looping contagion risk model is transformed into a …

In this paper, we study the credit default swap (CDS) pricing with counterparty risk in a
reduced form model. The default jump intensities of the reference firm and counterparty are …

Guo and Zhu (2017) recently proposed an equal-risk pricing approach to the valuation of
contingent claims when short selling is completely banned and two elegant pricing formulae …

The aim of this paper is to develop an implicit–explicit (IMEX) scheme for solving the 2-
dimensional (2-D) partial integro-differential equations with spatial delays arising in option …

The aim of this paper is to study the convergence rates of the finite difference methods
(FDMs) for solving the PDEs with spatial delays which arise in the option pricing under …

This paper studies the valuation of general contingent claims with short selling bans under
the equal-risk pricing (ERP) framework proposed in I. Guo & S.-P. Zhu (2017)[Journal of …

The paper presents a new application of Monte Carlo stimulation in Black-Scholes model to
get call price, meanwhile, control variable techniques are also used in the model. Then, the …