| A closed-form pricing formula for European options under the Heston model with stochastic interest rate XJ He, SP Zhu Journal of computational and applied mathematics 335, 323-333, 2018 | 55 | 2018 |
| A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean XJ He, W Chen Mathematics and Financial Economics 15 (2), 381-396, 2021 | 40 | 2021 |
| An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching XJ He, SP Zhu Journal of Economic Dynamics and Control 71, 77-85, 2016 | 40 | 2016 |
| How should a local regime-switching model be calibrated? XJ He, SP Zhu Journal of Economic Dynamics and Control 78, 149-163, 2017 | 37 | 2017 |
| The pricing of credit default swaps under a generalized mixed fractional Brownian motion X He, W Chen Physica A: Statistical Mechanics and its Applications 404, 26-33, 2014 | 34 | 2014 |
| Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching XJ He, W Chen IMA Journal of Management Mathematics 33 (2), 255-272, 2022 | 33 | 2022 |
| A fractional Black-Scholes model with stochastic volatility and European option pricing XJ He, S Lin Expert Systems with Applications 178, 114983, 2021 | 30 | 2021 |
| A new closed-form formula for pricing European options under a skew Brownian motion SP Zhu, XJ He The European Journal of Finance 24 (12), 1063-1074, 2018 | 25 | 2018 |
| A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing XJ He, S Lin Expert Systems with Applications 212, 118742, 2023 | 21 | 2023 |
| Pricing European options with stochastic volatility under the minimal entropy martingale measure XJ He, SP Zhu European Journal of Applied Mathematics 27 (2), 233-247, 2016 | 20 | 2016 |
| Analytically pricing exchange options with stochastic liquidity and regime switching XJ He, S Lin Journal of Futures Markets 43 (5), 662-676, 2023 | 19 | 2023 |
| On full calibration of hybrid local volatility and regime‐switching models XJ He, SP Zhu Journal of Futures Markets 38 (5), 586-606, 2018 | 19 | 2018 |
| Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching S Lin, XJ He Expert Systems with Applications 217, 119592, 2023 | 18 | 2023 |
| A regime switching fractional Black–Scholes model and European option pricing S Lin, XJ He Communications in Nonlinear Science and Numerical Simulation 85, 105222, 2020 | 17 | 2020 |
| An analytical approximation formula for barrier option prices under the Heston model XJ He, S Lin Computational economics, 1-13, 2021 | 16 | 2021 |
| A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching XJ He, S Lin Japan Journal of Industrial and Applied Mathematics 40 (1), 525-536, 2023 | 15 | 2023 |
| A new integral equation formulation for American put options SP Zhu, XJ He, X Lu Quantitative Finance 18 (3), 483-490, 2018 | 15 | 2018 |
| A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate XJ He, SP Zhu Computers & Mathematics with Applications 76 (9), 2223-2234, 2018 | 14 | 2018 |
| A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model S Lin, XJ He Chaos, Solitons & Fractals 144, 110644, 2021 | 11 | 2021 |
| A modified Black–Scholes pricing formula for European options with bounded underlying prices SP Zhu, XJ He Computers & Mathematics with Applications 75 (5), 1635-1647, 2018 | 11 | 2018 |
