Narrow search
Showing 1 - 7 of 7
Cover Image
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
Cover Image
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
Cover Image
Pricing the CBOE VIX futures with the Heston-Nandi GARCH model
Wang, Tianyi; Shen, Yiwen; Jiang, Yueting; Huang, Zhuo - In: The journal of futures markets 37 (2017) 7, pp. 641-659
Persistent link: https://www.econbiz.de/10011950860
Cover Image
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
Cover Image
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
Cover Image
Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard; Huang, Zhuo; Tong, Chen; Wang, … - In: Journal of financial econometrics 22 (2024) 1, pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
Cover Image
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