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The implied volatility smirk in the VXX options market

Gehricke, Sebastian A.; Zhang, Jin E. - In: Applied economics 52 (2020) 8, pp. 769-788

Persistent link: https://www.econbiz.de/10012197465

Pricing and hedging American options analytically : a perturbation method

Zhang, Jin E.; Li, Tiecheng - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 59-87

Persistent link: https://www.econbiz.de/10003955680

The implied volatility smirk in SPY options

Guo, Wei; Gehricke, Sebastian A.; Ruan, Xinfeng; Zhang, … - In: Applied economics 53 (2021) 23, pp. 2671-2692

Persistent link: https://www.econbiz.de/10012501393

The implied volatility smirk in the Chinese equity options market

Yue, Tian; Gehricke, Sebastian A.; Zhang, Jin E.; Pan, … - In: Pacific-Basin finance journal 69 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013369869

Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums

Ruan, Xinfeng; Zhu, Wenli; Huang, Jiexiang; Zhang, Jin E. - In: Economic modelling 54 (2016), pp. 326-338

Persistent link: https://www.econbiz.de/10011642179

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21

In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than...

Persistent link: https://www.econbiz.de/10012174118