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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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Which volatility model for option valuation in China? : empirical evidence from SSE 50 ETF options
Huang, Zhuo; Tong, Chen; Wang, Tianyi - In: Applied economics 52 (2020) 17, pp. 1866-1880
Persistent link: https://www.econbiz.de/10012197620
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Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard; Huang, Zhuo; Tong, Chen; Wang, … - In: Journal of financial econometrics 22 (2024) 1, pp. 187-223
Persistent link: https://www.econbiz.de/10014526311