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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
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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
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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
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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
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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
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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
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VIX option-implied volatility slope and VIX futures returns
Yoon, Jungah; Ruan, Xinfeng; Zhang, Jin E. - In: The journal of futures markets 42 (2022) 6, pp. 1002-1038
Persistent link: https://www.econbiz.de/10013287910
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Pricing VXX options by modeling VIX directly
Lin, Wei; Zhang, Jin E. - In: The journal of futures markets 42 (2022) 5, pp. 888-922
Persistent link: https://www.econbiz.de/10013187612
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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
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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