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The Chinese warrant bubble : A fundamental analysis

Wang, Yintian; Zhou, Guofu; Zhu, Yingzi - In: Journal of Futures Markets 41 (2020) 1, pp. 3-26

Persistent link: https://www.econbiz.de/10012406793

The Chinese Warrant Bubble : A Fundamental Analysis

Wang, Yintian - 2016

Based on a rational option pricing framework that incorporates short-selling and margin-trading constraints in the stock market, we present evidence that Chinese warrant prices, which are regarded as bubbles in the previous literature, can be explained by a new option pricing model. Based on the...

Persistent link: https://www.econbiz.de/10012985530

Volatility components, affine restrictions, and nonnormal innovations

Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 483-502

Persistent link: https://www.econbiz.de/10008736151

E-Arch model for implied volatility term structure of FX options

Zhu, Yingzi; Avellaneda, Marco - 1999

Persistent link: https://www.econbiz.de/10001491262

A risk-neutral stochastic volatility model

Zhu, Yingzi - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 289-310

Persistent link: https://www.econbiz.de/10001240151

An E-ARCH model for the term structure of implied volatility of FX options

Zhu, Yingzi - In: Applied mathematical finance 4 (1997) 2, pp. 81-100

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Is the recent financial crisis really a "once-in-a-century" event?

Zhou, Guofu; Zhu, Yingzi - In: Financial analysts' journal : FAJ 66 (2010) 1, pp. 24-27

Persistent link: https://www.econbiz.de/10003952054

Asset allocation: can technical analysis add value?

Zhou, Guofu; Zhu, Yingzi; Qiang, Sheng - In: International Journal of Portfolio Analysis and Management 1 (2012) 1, pp. 43-58

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Volatility trading : what is the role of the long-run volatility component?

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Volatility components : the term structure dynamics of VIX futures

Lu, Zhongjin; Zhu, Yingzi - In: The journal of futures markets 30 (2010) 3, pp. 230-256

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