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Stochastic stability in one-way flow networks

Cui, Zhiwei; Wang, Shouyang; Zhang, Jin; Zu, Lei - In: Mathematical social sciences 66 (2013) 3, pp. 410-421

Persistent link: https://www.econbiz.de/10010237446

Expected residual minimization formulation for a class of stochastic linear second-order cone complementarity problems

Wang, Guoxin; Zhang, Jin; Zeng, Bo; Lin, Gui-Hua - In: European journal of operational research : EJOR 265 (2018) 2, pp. 437-447

Persistent link: https://www.econbiz.de/10011811394

Asset pricing under jump diffusion

Zhang, Jin E.; Zhao, Huimin - 2006

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

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

Pricing VIX derivatives with free stochastic volatility model

Lin, Wei; Li, Shenghong; Chern, Shane; Zhang, Jin E. - In: Review of derivatives research 22 (2019) 1, pp. 41-75

Persistent link: https://www.econbiz.de/10012311659

Dissecting skewness under affine jump-diffusions

Zhen, Fang; Zhang, Jin E. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10012299592

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

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