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Does social media distort price discovery? : evidence from rumor clarifications

Wu, Chunying; Xiong, Xiong; Gao, Ya; Zhang, Jin - In: Research in international business and finance 62 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10014248635

Asset pricing under jump diffusion

Zhang, Jin E.; Zhao, Huimin - 2006

Persistent link: https://www.econbiz.de/10003406960

Pricing and hedging American options analytically : a perturbation method

Zhang, Jin E.; Li, Tiecheng - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 59-87

Persistent link: https://www.econbiz.de/10003955680

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

Causality in the VIX futures market

Shu, Jinghong; Zhang, Jin E. - In: The journal of futures markets 32 (2012) 1, pp. 24-46

Persistent link: https://www.econbiz.de/10010218057

Do stocks outperform bank deposits in China?

Huang, Jiexiang; Guo, Wei; Zhang, Jin E. - In: Pacific-Basin finance journal 64 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012493988

Asset pricing in a pure exchange economy with heterogeneous investors

Ruan, Xinfeng; Zhang, Jin E. - In: Mathematics and financial economics 14 (2020) 4, pp. 605-634

Persistent link: https://www.econbiz.de/10012321851

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

Expected stock returns and forward variance

Luo, Xingguo; Zhang, Jin E. - In: Journal of financial markets 34 (2017), pp. 95-117

Persistent link: https://www.econbiz.de/10011815206

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