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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 continuously sampled Asian options with perturbation method

Zhang, Jin E. - In: The journal of futures markets 23 (2002) 6, pp. 535-560

Persistent link: https://www.econbiz.de/10001769708

A lattice algorithm for pricing moving average barrier options

Dai, Min; Li, Peifan; Zhang, Jin E. - In: Journal of economic dynamics & control 34 (2010) 3, pp. 542-554

Persistent link: https://www.econbiz.de/10003966493

Analytical pricing of American options

Cheng, Jun; Zhang, Jin E. - In: Review of derivatives research 15 (2012) 2, pp. 157-192

Persistent link: https://www.econbiz.de/10009629059

GARCH option pricing models, the CBOE VIX, and variance risk premium

Hao, Jinji; Zhang, Jin E. - In: Journal of financial econometrics : official journal of … 11 (2013) 3, pp. 556-580

Persistent link: https://www.econbiz.de/10009786515

Carr and Wu's (2020) framework in the oil ETF option market

Jia, Xiaolan; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of commodity markets 31 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014477744

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 price of COVID-19-induced uncertainty in the options market

Li, Jianhui; Ruan, Xinfeng; Zhang, Jin E. - In: Economics letters 211 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10013172691

The Price of Covid-19-Induced Uncertainty in the Options Market

Li, Jianhui; Ruan, Xinfeng; Zhang, Jin E. - 2022

Using three option market measures, we find evidence from 28 countries/regions that the COVID-19-induced uncertainty is priced in the index exchange-traded funds (ETF) options market. Specifically, options that provide protection to hedge against price risk, variance risk, and tail risk...

Persistent link: https://www.econbiz.de/10013312294

The COVID-19 risk in the Chinese option market

Li, Jianhui; Ruan, Xinfeng; Gehricke, Sebastian A.; … - In: International review of finance : the official journal … 22 (2022) 2, pp. 346-355

Persistent link: https://www.econbiz.de/10013275599