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Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of firms is based on adequate liquidity and trading...

Persistent link: https://www.econbiz.de/10003919376

Investigating the information content of the model-free volatility expectation by Monte Carlo methods

Zhang, Yuanyuan; Taylor, Stephen; Wang, Lili - In: The journal of futures markets 33 (2013) 11, pp. 1071-1095

Persistent link: https://www.econbiz.de/10010255100

Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 38-52

Persistent link: https://www.econbiz.de/10003862759

Option valuation via nonaffine dynamics with realized volatility

Zhang, Yuanyuan; Zhang, Qian; Wang, Zerong; Wang, Qi - In: Journal of empirical finance 77 (2024), pp. 1-28

Persistent link: https://www.econbiz.de/10014578567

VIX option pricing through nonaffine GARCH dynamics and semianalytical formula

Liu, Junting; Wang, Qi; Zhang, Yuanyuan - In: The journal of futures markets 44 (2024) 7, pp. 1189-1223

Persistent link: https://www.econbiz.de/10014553980

A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model

Li, Shaoyu; Zhang, Yuanyuan; Zhu, Chunhui - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013188207

Analytical formula for pricing European options with stochastic volatility under the GARCH-PDE approximation

Wang, Qi; Zhang, Qian; Wang, Zerong; Zhang, Yuanyuan - In: The journal of derivatives : JOD 31 (2024) 4, pp. 98-124

Persistent link: https://www.econbiz.de/10015200172