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Do VIX futures contribute to the valuation of VIX options?

Tong, Chen; Huang, Zhuo; Wang, Tianyi - In: The journal of futures markets 42 (2022) 9, pp. 1644-1664

Persistent link: https://www.econbiz.de/10013465803

Which volatility model for option valuation in China? : empirical evidence from SSE 50 ETF options

Huang, Zhuo; Tong, Chen; Wang, Tianyi - In: Applied economics 52 (2020) 17, pp. 1866-1880

Persistent link: https://www.econbiz.de/10012197620

Option pricing with state-dependent pricing kernel

Tong, Chen; Hansen, Peter Reinhard; Huang, Zhuo - In: The journal of futures markets 42 (2022) 8, pp. 1409-1433

Persistent link: https://www.econbiz.de/10013287978

Pricing VIX futures and options with good and bad volatility of volatility

Guo, Zhiyu; Huang, Zhuo; Tong, Chen - In: The journal of futures markets 44 (2024) 11, pp. 1832-1847

Persistent link: https://www.econbiz.de/10015110736

Quadratic Spline Collocation for One-Dimensional Linear Parabolic Partial Differential Equations

Christara, Christina; Chen, Tong; Dang, Duy-Minh - 2010

New methods for solving general linear parabolic partial differential equations (PDEs) in one space dimension are developed. The methods combine quadratic-spline collocation for the space discretization and classical finite differences, such as Crank-Nicolson, for the time discretization. The...

Persistent link: https://www.econbiz.de/10014203451

Option pricing with overnight and intraday volatility

Liang, Fang; Du, Lingshan; Huang, Zhuo - In: The journal of futures markets 43 (2023) 11, pp. 1576-1614

Persistent link: https://www.econbiz.de/10014432919

Option pricing with the realized GARCH model : an analytical approximation approach

Huang, Zhuo; Wang, Tianyi; Hansen, Peter Reinhard - In: The journal of futures markets 37 (2017) 4, pp. 328-358

Persistent link: https://www.econbiz.de/10011950674