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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

Hedging volatility risk

Brenner, Menachem; Ou, Ernest Y.; Zhang, Jin E. - 2001

Persistent link: https://www.econbiz.de/10001562714

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

Hedging volatility risk

Brenner, Menachem; Ou, Ernest Y.; Zhang, Jin E. - In: Journal of banking & finance 30 (2006) 3, pp. 811-821

Persistent link: https://www.econbiz.de/10003300389

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 volatility index and volatility risk premium in China

Yue, Tian; Ruan, Xinfeng; Gehricke, Sebastian; Zhang, Jin E. - In: The quarterly review of economics and finance : journal … 91 (2023), pp. 40-55

Persistent link: https://www.econbiz.de/10014461535

The Skewness Implied in the Heston Model and its Application

Zhang, Jin E. - 2016

In this paper, we provide an exact formula for the skewness of stock returns implied in the Heston (1993) model by using a moment-computing approach. We compute the moments of Ito integrals by using Ito's Lemma skillfully. The model's affine property allows us to obtain analytical formulas for...

Persistent link: https://www.econbiz.de/10012989388