Zhe Zhao

Stevens Institute of Technology

PhD Candidate

1 Castle Point

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

2

DOWNLOADS

113

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 02 Oct 2017 Last Revised: 21 Apr 2018
Zhe Zhao, Zhenyu Cui and Ionut Florescu
Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Stevens Institute of Technology
Downloads 113 (245,613)
Citation 1

Abstract:

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VIX derivatives, Hermite series, Stochastic volatility, Heston model, Mean-reverting CEV model

2.

Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees

Journal of Derivatives, Vol. 25, No. 2, 2017, Stevens Institute of Technology School of Business Research Paper, https://doi.org/10.3905/jod.2017.25.2.007
Posted: 20 May 2019
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 0 (674,283)

Abstract:

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variance swap, gamma swap, corridor swap, realized variance, stochastic volatility models, tree approximations