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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
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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
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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
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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
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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