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1
Specification analysis of VXX option pricing models under Lévy processes
Cao, Jiling
;
Ruan, Xinfeng
;
Su, Shu
;
Zhang, WenJun
- In:
Journal of Futures Markets
41
(
2021
)
9
,
pp. 1456-1477
Persistent link: https://www.econbiz.de/10012632609
Saved in:
2
Pricing VIX derivatives with infinite‐activity jumps
Cao, Jiling
;
Ruan, Xinfeng
;
Su, Shu
;
Zhang, WenJun
- In:
Journal of Futures Markets
40
(
2019
)
3
,
pp. 329-354
Persistent link: https://www.econbiz.de/10012189103
Saved in:
3
Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices
Cao, Jiling
;
Ruan, Xinfeng
;
Zhang, WenJun
- In:
Journal of Futures Markets
40
(
2020
)
6
,
pp. 945-973
Persistent link: https://www.econbiz.de/10012189121
Saved in:
4
Volatility of volatility is (also) rough
Da Fonseca, José
;
Zhang, WenJun
- In:
Journal of Futures Markets
39
(
2019
)
5
,
pp. 600-611
Persistent link: https://www.econbiz.de/10012082186
Saved in:
5
Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
Zhao, Hui
;
Shen, Yang
;
Zeng, Yan
;
Zhang, WenJun
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 159-180
Persistent link: https://www.econbiz.de/10012105537
Saved in:
6
Dynamic portfolio choice and information trading with recursive utility
Chen, Xingjiang
;
Ruan, Xinfeng
;
Zhang, WenJun
- In:
Economic modelling
98
(
2021
),
pp. 154-167
Persistent link: https://www.econbiz.de/10012793889
Saved in:
7
Rough stochastic elasticity of variance and option pricing
Cao, Jiling
;
Kim, Jeong-Hoon
;
Kim, See-Woo
;
Zhang, WenJun
- In:
Finance research letters
37
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
Saved in:
8
Rescaling the double-mean-reverting 4/2 stochastic volatility model for derivative pricing
Cao, Jiling
;
Kim, Jeong-Hoon
;
Liu, Wenqiang
;
Zhang, WenJun
- In:
Finance research letters
58
(
2023
)
2
,
pp. 1-8
Persistent link: https://www.econbiz.de/10014583526
Saved in:
9
Financial statement comparability and debt contracting : evidence from the syndicated loan market
Fang, Xiaohua
;
Li, Yutao
;
Xin, Baohua
;
Zhang, Wenjun
- In:
Accounting horizons : a quarterly publication of the …
30
(
2016
)
2
,
pp. 277-303
Persistent link: https://www.econbiz.de/10011508359
Saved in:
10
Protection of proprietary information and financial reporting opacity : evidence from a natural experiment
Callen, Jeffrey L.
;
Fang, Xiaohua
;
Zhang, Wenjun
- In:
The journal of corporate finance : contracting, …
64
(
2020
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012295782
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