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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

Equilibrium asset and option pricing under jump diffusion

Zhang, Jin E.; Zhao, Huimin; Chang, Eric Chieh - In: Mathematical finance : an international journal of … 22 (2012) 3, pp. 538-568

Persistent link: https://www.econbiz.de/10009613181

Time-varying uncertainty and variance risk premium

Ruan, Xinfeng; Zhang, Jin E. - In: Journal of macroeconomics 69 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013274639

Ambiguity on uncertainty and the equity premium

Ruan, Xinfeng; Zhang, Jin E. - In: Finance research letters 38 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012485497

Investor sentiment, variance risk premium and delta-hedged gains

Chen, Yankun; Shu, Jinghong; Zhang, Jin E. - In: Applied economics 48 (2016) 31/33, pp. 2952-2964

Persistent link: https://www.econbiz.de/10011615237

Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums

Ruan, Xinfeng; Zhu, Wenli; Huang, Jiexiang; Zhang, Jin E. - In: Economic modelling 54 (2016), pp. 326-338

Persistent link: https://www.econbiz.de/10011642179

Equilibrium variance risk premium in a cost-free production economy

Ruan, Xinfeng; Zhang, Jin E. - In: Journal of economic dynamics & control 96 (2018), pp. 42-60

Persistent link: https://www.econbiz.de/10012004952

Moment spreads in the energy market

Ruan, Xinfeng; Zhang, Jin E. - In: Energy economics 81 (2019), pp. 598-609

Persistent link: https://www.econbiz.de/10012172876

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21

In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than...

Persistent link: https://www.econbiz.de/10012174118

The economics of the financial market for volatility trading

Ruan, Xinfeng; Zhang, Jin E. - In: Journal of financial markets 52 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10013266318